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单词 ProgressivelyMeasurableProcess
释义

progressively measurable process


A stochastic processMathworldPlanetmath (Xt)t+ is said to be adapted to a filtrationPlanetmathPlanetmath (http://planetmath.org/FiltrationOfSigmaAlgebras) (t) on the measurable spaceMathworldPlanetmathPlanetmath (Ω,) if Xt is an t-measurable random variableMathworldPlanetmath for each t=0,1,. However, for continuous-time processes, where the time t ranges over an arbitrary index setMathworldPlanetmathPlanetmath 𝕋, the property of being adapted is too weak to be helpful in many situations. Instead, considering the process as a map

X:𝕋×Ω,(t,ω)Xt(ω)

it is useful to consider the measurability of X.

The process X is progressive or progressively measurable if, for every s𝕋, the stopped process XtsXmin(s,t) is (𝕋)s-measurable. In particular, every progressively measurable process will be adapted and jointly measurable. In discrete time, when 𝕋 is countableMathworldPlanetmath, the converseMathworldPlanetmath holds and every adapted process is progressive.

A set S𝕋×Ω is said to be progressive if its characteristic functionMathworldPlanetmathPlanetmathPlanetmathPlanetmath 1S is progressive. Equivalently,

S((-,s]×Ω)(𝕋)s

for every s𝕋. The progressively measurable sets form a σ-algebra, and a stochastic process is progressive if and only if it is measurable with respect to this σ-algebra.

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更新时间:2025/5/4 12:19:10