Joint measurability of a Brownian motion

brownian motionmeasurable-functionsmeasure-theory

Hi I am not that familiar in proving measurability of a function. The definition I know is that the preimage of measurable sets has to be measurable again. But how to prove that seems difficult to me at the first glance. I do have the following exercise: Let $(B_t)$ be a Brownian motion on $(\Omega,\mathcal{A},\mathbb{P})$ with continuous trajectories/paths.
Consider the product space $$([0,\infty),\mathcal{B}_{[0,\infty)},\lambda)\otimes (\Omega,\mathcal{A},\mathbb{P})$$

where $\lambda$ is the Lebesgue measure. Show that the mapping $(t,\omega)\rightarrow (B_t(\omega))$($t\geq 0$)
defined from that space to $(\mathbb{R}^{[0,\infty)},\mathcal{B}_{\mathbb{R}^{[0,\infty)}})$ is measurable. How can I prove this? I think the continuity is important, but I dont know how to involve it. Any help is appreciated.

Best Answer

Approximate $B(t,\omega)$ by the sequence of simple processes $\{B^{(n)}(t,\omega)=B(2^{-n}\lfloor 2^{n}t\rfloor,\omega)\}$. It is easy to see that $(t,\omega)\mapsto B^{(n)}(t,\omega)$ is $\mathcal{B}_{[0,\infty)}\otimes\mathcal{A}$-measurable and $B^{(n)}\to B$ pointwise as $n\to\infty$ ($\because$ $B$ is continuous). Thus, $B$ is also measurable as the limit of measurable functions.

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