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Quantitative Finance · Glosarium

Apa itu Filtration, adapted process?

Dikenal juga sebagai: filtration · adapted process

Definition 1.1 Quantitative Methods · Bab 1 — Probability at Speed

A filtration is a family F=(Ft)t∈T\mathbb F = (\mathcal F_t)_{t \in \mathbb T} of sub-σ\sigma-algebras of F\mathcal F, increasing in tt: Fs⊆Ft\mathcal F_s \subseteq \mathcal F_t for s≤ts \le t. The index set T\mathbb T is {0,1,…,n}\{0, 1, \dots, n\} or [0,T][0, T]; in continuous time the filtration is assumed right-continuous and complete (the usual conditions). A process (Xt)(X_t) is an adapted process if each XtX_t is Ft\mathcal F_t-measurable: its value at tt is known at tt.

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