In stochastic analysis, a part of the mathematical theory of probability, a predictable process is a stochastic process whose value is knowable[clarification needed] at a prior time. The predictable processes form the smallest class[clarification needed] that is closed under taking limits of sequences and contains all adapted left-continuous processes[clarification needed].
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.
- Every deterministic process is a predictable process.
- Every continuous-time process that is left continuous is a predictable process.
- van Zanten, Harry (November 8, 2004). "An Introduction to Stochastic Processes in Continuous Time" (pdf). Retrieved October 14, 2011.
- "Predictable processes: properties" (pdf). Retrieved October 15, 2011.[dead link]
|This probability-related article is a stub. You can help Wikipedia by expanding it.|