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Predictable process

From Wikipedia, the free encyclopedia

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

Discrete-time process

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

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

See also

References

  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.
This page was last edited on 22 October 2019, at 11:58
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