Let be a stochastic process defined on a probability space and a filtration (an increasing sequence of sigma subalgebras of ), where is a linearly ordered subset of with a minimum . Then the process is said to be adapted to the filtration if for each , is -measurable (http://planetmath.org/MathcalFMeasurableFunction):
A stochastic process is an adapted process if it is adapted to some filtration.
|Date of creation||2013-03-22 16:16:43|
|Last modified on||2013-03-22 16:16:43|
|Last modified by||rspuzio (6075)|