Jump to content

Predictable process

From Wikipedia, the free encyclopedia
(Redirected from Predictable sigma-algebra)

In stochastic analysis, a part of the mathematical theory of probability, a predictable process is a stochastic process whose value is knowable at a prior time. The predictable processes form the smallest class that is closed under taking limits of sequences and contains all adapted left-continuous processes.[clarification needed]

Mathematical definition

[edit]

Discrete-time process

[edit]

Given a filtered probability space , then a stochastic process is predictable if is measurable with respect to the σ-algebra for each n.[1]

Continuous-time process

[edit]

Given a filtered probability space , then a continuous-time stochastic process is predictable if , considered as a mapping from , is measurable with respect to the σ-algebra generated by all left-continuous adapted processes.[2] This σ-algebra is also called the predictable σ-algebra.

Examples

[edit]

See also

[edit]

References

[edit]
  1. ^ van Zanten, Harry (November 8, 2004). "An Introduction to Stochastic Processes in Continuous Time" (PDF). Archived from the original (pdf) on April 6, 2012. Retrieved October 14, 2011.
  2. ^ "Predictable processes: properties" (PDF). Archived from the original (pdf) on March 31, 2012. Retrieved October 15, 2011.