ThmDex – An index of mathematical definitions, results, and conjectures.
Result R2690 on D3353: Stopping time
Minimum and maximum of stopping times are stopping times
Formulation 0
Let $P = (\Omega, \mathcal{F}, \mathbb{P}, \{ \mathcal{G}_j \}_{j \in J})$ be a D1726: Filtered probability space.
Let $T_0, T_1 : \Omega \to J$ each be a D3353: Stopping time with respect to $P$.
Then
(1) $\min(T_0, T_1)$ is a D3353: Stopping time with respect to $P$
(2) $\max(T_0, T_1)$ is a D3353: Stopping time with respect to $P$
Proofs
Proof 0
Let $P = (\Omega, \mathcal{F}, \mathbb{P}, \{ \mathcal{G}_j \}_{j \in J})$ be a D1726: Filtered probability space.
Let $T_0, T_1 : \Omega \to J$ each be a D3353: Stopping time with respect to $P$.
Let $j \in J$. We have the decomposition \begin{equation} \{ \min(T_0, T_1) \leq j \} = \{ T_0 \leq j \lor T_1 \leq j \} = \{ T_0 \leq j \} \cup \{ T_1 \leq j \} \end{equation} Since $T_0$ and $T_1$ are stopping times, the sets $\{ T_0 \leq j \}$ and $\{ T_1 \leq j \}$ are each contained in $\mathcal{G}_j$. By definition, a sigma-algebra is closed under countable unions, which guarantees that the binary union $\{ \min(T_0, T_1) \leq j \} = \{ T_0 \leq j \} \cup \{ T_1 \leq j \}$ is in $\mathcal{G}_j$. This establishes the first claim.

As for the second claim, if $j \in J$, then we have the decomposition \begin{equation} \{ \max(T_0, T_1) \leq j \} = \{ T_0 \leq j \land T_1 \leq j \} = \{ T_0 \leq j \} \cap \{ T_1 \leq j \} \end{equation} Again, since $T_0$ and $T_1$ are stopping times, then the sets $\{ T_0 \leq j \}$ and $\{ T_1 \leq j \}$ are each contained in $\mathcal{G}_j$. Result R1030: Sigma-algebra is closed under countable intersections shows that a sigma-algebra is closed under countable intersections, which guarantees that the binary intersection $\{ \max(T_0, T_1) \leq j \} = \{ T_0 \leq j \} \cap \{ T_1 \leq j \}$ is in $\mathcal{G}_j$. This concludes the proof. $\square$