In the theory of stochastic processes, a subdiscipline of probability theory, filtrations are totally ordered collections of subsets that are used to model the information that is available at a given point and therefore play an important role in the formalization of random (stochastic) processes.
is called a filtration, if for all . So filtrations are families of σ-algebras that are ordered non-decreasingly.[1] If is a filtration, then is called a filtered probability space.
If is a filtration, then the corresponding right-continuous filtration is defined as[2]
with
The filtration itself is called right-continuous if .[3]
Complete filtration
Let be a probability space and let,
be the set of all sets that are contained within a -null set.
A filtration is called a complete filtration, if every contains . This implies is a complete measure space for every (The converse is not necessarily true.)
Augmented filtration
A filtration is called an augmented filtration if it is complete and right continuous. For every filtration there exists a smallest augmented filtration refining .
If a filtration is an augmented filtration, it is said to satisfy the usual hypotheses or the usual conditions.[3]
^Klenke, Achim (2008). Probability Theory. Berlin: Springer. p. 191. doi:10.1007/978-1-84800-048-3. ISBN978-1-84800-047-6.
^Kallenberg, Olav (2017). Random Measures, Theory and Applications. Probability Theory and Stochastic Modelling. Vol. 77. Switzerland: Springer. p. 350-351. doi:10.1007/978-3-319-41598-7. ISBN978-3-319-41596-3.
^ abKlenke, Achim (2008). Probability Theory. Berlin: Springer. p. 462. doi:10.1007/978-1-84800-048-3. ISBN978-1-84800-047-6.
January 21, 2023
filtration, probability, theory, theory, stochastic, processes, subdiscipline, probability, theory, filtrations, totally, ordered, collections, subsets, that, used, model, information, that, available, given, point, therefore, play, important, role, formalizat. In the theory of stochastic processes a subdiscipline of probability theory filtrations are totally ordered collections of subsets that are used to model the information that is available at a given point and therefore play an important role in the formalization of random stochastic processes Contents 1 Definition 2 Example 3 Types of filtrations 3 1 Right continuous filtration 3 2 Complete filtration 3 3 Augmented filtration 4 See also 5 ReferencesDefinition EditLet W A P displaystyle Omega mathcal A P be a probability space and let I displaystyle I be an index set with a total order displaystyle leq often N displaystyle mathbb N R displaystyle mathbb R or a subset of R displaystyle mathbb R For every i I displaystyle i in I let F i displaystyle mathcal F i be a sub s algebra of A displaystyle mathcal A Then F F i i I displaystyle mathbb F mathcal F i i in I is called a filtration if F k F ℓ displaystyle mathcal F k subseteq mathcal F ell for all k ℓ displaystyle k leq ell So filtrations are families of s algebras that are ordered non decreasingly 1 If F displaystyle mathbb F is a filtration then W A F P displaystyle Omega mathcal A mathbb F P is called a filtered probability space Example EditLet X n n N displaystyle X n n in mathbb N be a stochastic process on the probability space W A P displaystyle Omega mathcal A P Then F n s X k k n displaystyle mathcal F n sigma X k mid k leq n is a s algebra and F F n n N displaystyle mathbb F mathcal F n n in mathbb N is a filtration Here s X k k n displaystyle sigma X k mid k leq n denotes the s algebra generated by the random variables X 1 X 2 X n displaystyle X 1 X 2 dots X n F displaystyle mathbb F really is a filtration since by definition all F n displaystyle mathcal F n are s algebras and s X k k n s X k k n 1 displaystyle sigma X k mid k leq n subseteq sigma X k mid k leq n 1 This is known as the natural filtration of A displaystyle mathcal A with respect to X displaystyle X Types of filtrations EditRight continuous filtration Edit If F F i i I displaystyle mathbb F mathcal F i i in I is a filtration then the corresponding right continuous filtration is defined as 2 F F i i I displaystyle mathbb F mathcal F i i in I with F i i lt z F z displaystyle mathcal F i bigcap i lt z mathcal F z The filtration F displaystyle mathbb F itself is called right continuous if F F displaystyle mathbb F mathbb F 3 Complete filtration Edit Let W F P displaystyle Omega mathcal F P be a probability space and let N P A W A B for some B F with P B 0 displaystyle mathcal N P A subseteq Omega mid A subseteq B text for some B in mathcal F text with P B 0 be the set of all sets that are contained within a P displaystyle P null set A filtration F F i i I displaystyle mathbb F mathcal F i i in I is called a complete filtration if every F i displaystyle mathcal F i contains N P displaystyle mathcal N P This implies W F i P displaystyle Omega mathcal F i P is a complete measure space for every i I displaystyle i in I The converse is not necessarily true Augmented filtration Edit A filtration is called an augmented filtration if it is complete and right continuous For every filtration F displaystyle mathbb F there exists a smallest augmented filtration F displaystyle tilde mathbb F refining F displaystyle mathbb F If a filtration is an augmented filtration it is said to satisfy the usual hypotheses or the usual conditions 3 See also EditNatural filtration Filtration mathematics Filter mathematics References Edit Klenke Achim 2008 Probability Theory Berlin Springer p 191 doi 10 1007 978 1 84800 048 3 ISBN 978 1 84800 047 6 Kallenberg Olav 2017 Random Measures Theory and Applications Probability Theory and Stochastic Modelling Vol 77 Switzerland Springer p 350 351 doi 10 1007 978 3 319 41598 7 ISBN 978 3 319 41596 3 a b Klenke Achim 2008 Probability Theory Berlin Springer p 462 doi 10 1007 978 1 84800 048 3 ISBN 978 1 84800 047 6 Retrieved from https en wikipedia org w index php title Filtration probability theory amp oldid 1125634340, wikipedia, wiki, book, books, library,