Predictable process

Template:Short description 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.

Mathematical definition

Discrete-time process

Given a filtered probability space $(\Omega ,ℱ,({ℱ}_n{)}_{n\in \mathbb{N}},\mathbb{P})$, then a stochastic process $(X_n{)}_{n\in \mathbb{N}}$ is predictable if $X_{n+1}$ is measurable with respect to the σ-algebra ${ℱ}_n$ for each n.

Continuous-time process

Given a filtered probability space $(\Omega ,ℱ,({ℱ}_t{)}_{t\ge 0},\mathbb{P})$, then a continuous-time stochastic process $(X_t{)}_{t\ge 0}$ is predictable if $X$, considered as a mapping from $\Omega \times {ℝ}_{+}$, is measurable with respect to the σ-algebra generated by all left-continuous adapted processes. This σ-algebra is also called the predictable σ-algebra.

Examples

• Every deterministic process is a predictable process.
• Every continuous-time adapted process that is left continuous is a predictable process.

See also

• Adapted process
• Martingale