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Optional random process

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A stochastic process that is measurable (as a mapping ) with respect to the optional sigma-algebra .


Comments

An optional random process is also called an adapted random process.

References

[a1] C. Dellacherie, "Capacités et processus stochastiques" , Springer (1972) pp. Chapt. 3, Sect. 2
[a2] H. Bauer, "Probability theory and elements of measure theory" , Holt, Rinehart & Winston (1972) pp. Chapt. 11 (Translated from German)
How to Cite This Entry:
Optional random process. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Optional_random_process&oldid=39349
This article was adapted from an original article by A.N. Shiryaev (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article