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generated by all mappings <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p0744106.png" /> of the set <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p0744107.png" /> into <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p0744108.png" /> that are (for each fixed <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p0744109.png" />) continuous from the left (in <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441010.png" />) and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441011.png" />-adapted to a non-decreasing family <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441012.png" /> of sub-<img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441013.png" />-algebras <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441014.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441015.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441016.png" /> is a measurable space. A predictable <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441017.png" />-algebra can be generated by any of the following families of sets:
 
generated by all mappings <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p0744106.png" /> of the set <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p0744107.png" /> into <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p0744108.png" /> that are (for each fixed <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p0744109.png" />) continuous from the left (in <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441010.png" />) and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441011.png" />-adapted to a non-decreasing family <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441012.png" /> of sub-<img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441013.png" />-algebras <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441014.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441015.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441016.png" /> is a measurable space. A predictable <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441017.png" />-algebra can be generated by any of the following families of sets:
  
1) <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441018.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441019.png" /> and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441020.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441021.png" /> is a stopping time (cf. [[Markov moment|Markov moment]]) and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441022.png" /> a stochastic interval;
+
1) <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441018.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441019.png" /> and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441020.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441021.png" /> is a stopping time (cf. [[Markov moment|Markov moment]]) and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441022.png" /> a [[stochastic interval]];
  
 
2) <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441023.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441024.png" />, and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441025.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441026.png" /> and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441027.png" />.
 
2) <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441023.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441024.png" />, and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441025.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441026.png" /> and <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/p/p074/p074410/p07441027.png" />.

Revision as of 06:34, 2 October 2016

predictable -algebra

The least -algebra of sets in

generated by all mappings of the set into that are (for each fixed ) continuous from the left (in ) and -adapted to a non-decreasing family of sub--algebras , , where is a measurable space. A predictable -algebra can be generated by any of the following families of sets:

1) , where and , where is a stopping time (cf. Markov moment) and a stochastic interval;

2) , where , and , where and .

Between optional -algebras (cf. Optional sigma-algebra) and predictable -algebras there is the relation .

References

[1] C. Dellacherie, "Capacités et processus stochastique" , Springer (1972)


Comments

Instead of "(s-) algebra" one more often uses (-) field.

References

[a1] C. Dellacherie, P.A. Meyer, "Probabilities and potential" , A-C , North-Holland (1978–1988) (Translated from French)
How to Cite This Entry:
Predictable sigma-algebra. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Predictable_sigma-algebra&oldid=39353
This article was adapted from an original article by A.N. Shiryaev (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article