Predictable process

In stochastic analysis, a part of the mathematical theory of probability, a predictable process is a stochastic process whose value is knowable at a prior time. The predictable processes form the smallest class that is closed under taking limits of sequences and contains all adapted left-continuous processes.

Mathematical definition

Discrete-time process

Given a filtered probability space $(\Omega,\mathcal{F},(\mathcal{F}_n)_{n \in \mathbb{N}},\mathbb{P})$, then a stochastic process $(X_n)_{n \in \mathbb{N}}$ is predictable if $X_{n+1}$ is measurable with respect to the σ-algebra $\mathcal{F}_n$ for each n.^[1]

Continuous-time process

Given a filtered probability space $(\Omega,\mathcal{F},(\mathcal{F}_t)_{t \geq 0},\mathbb{P})$, then a continuous-time stochastic process $(X_t)_{t \geq 0}$ is predictable if $X$, considered as a mapping from $\Omega \times \mathbb{R}_{+}$, is measurable with respect to the σ-algebra generated by all left-continuous adapted processes.^[2]

Examples

• Every deterministic process is a predictable process.
• Every continuous-time adapted process that is left continuous is a predictable process.

See also

• Adapted process
• Martingale

References

1. van Zanten, Harry (November 8, 2004). "An Introduction to Stochastic Processes in Continuous Time" (pdf). Retrieved October 14, 2011.
2. "Predictable processes: properties" (PDF). Archived from the original (pdf) on March 31, 2012. Retrieved October 15, 2011.