Predictable random process
From Encyclopedia of Mathematics
A stochastic process 
that is measurable (as a mapping 
) with respect to the predictable sigma-algebra 
, where 
.
Comments
References
| [a1] | C. Dellacherie, P.A. Meyer, "Probabilities and potential" , B , North-Holland (1982) (Translated from French) |
| [a2] | R.S. Liptser, A.N. Shiryaev, "Statistics of random processes" , II , Springer (1978) pp. 301ff (Translated from Russian) |
| [a3] | R.Sh. Liptser, A.N. [A.N. Shiryaev] Shiryayev, "Theory of martingales" , Kluwer (1989) (Translated from Russian) |
How to Cite This Entry:
Predictable random process. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Predictable_random_process&oldid=32606
Predictable random process. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Predictable_random_process&oldid=32606
This article was adapted from an original article by A.N. Shiryaev (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article