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单词 FiltrationOfsigmaalgebras
释义

filtration of σ-algebras


For an ordered set T, a filtrationPlanetmathPlanetmath of σ-algebras (http://planetmath.org/SigmaAlgebra) (t)tT is a collectionMathworldPlanetmath of σ-algebras on an underlying set Ω, satisfying st for all s<t in T. Here, t is understood as the time variable, taking values in the index setMathworldPlanetmathPlanetmath T, and t represents the collection of all events observable up until time t. The index set is usually a subset of the real numbers, with common examples being T=+ for discrete-time and T=+ for continuous-time scenarios.The collection (t)tT is a filtration on a measurable spaceMathworldPlanetmathPlanetmath (Ω,) if t for every t. If, furthermore, there is a probability measureMathworldPlanetmath defined on the underlying measurable space then this gives a filtered probability space.The alternative notation (t,tT) is often used for the filtration or, when the index set T is clear from the context, simply (t) or 𝐅.

Filtrations are widely used for studying stochastic processesMathworldPlanetmath, where a process Xt with time ranging over the set T is said to be adapted to the filtration if Xt is an t-measurable random variableMathworldPlanetmath for each time t.

Conversely, any stochastic process (Xt)tT generates a filtration. Let t be the smallest σ-algebra with respect to which Xs is measurable for all st,

t=σ(Xs:st).

This defines the smallest filtration to which X is adapted, known as the natural filtration of X.

Given a filtration, there are various limiting σ-algebras which can be defined. The values at plus and minus infinityMathworldPlanetmathPlanetmath are

=σ(tt),-=tt,

which satisfy -t.In continuous-time, when the index set is an interval of the real numbers, the left and right limits can be defined at any time. They are,

t+=s>ts,t-=σ(s<ts),

except if t is the maximum of T it is often convenient to set t+=t or, if t is the minimum, t-=t. It is easily verified that ss+t-t for all times s<t.Furthermore, (t+) and (t-) are themselves filtrations.

A filtration is said to be right-continuous if t=t+ for every t so, in particular, (t+) is always the smallest right-continuous filtration larger than (t).

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更新时间:2025/5/4 19:19:48