Adapted Process

In the study of stochastic processes, an adapted process (also referred to as a non-anticipating or non-anticipative process) is one that cannot "see into the future". An informal interpretation is that ''X'' is adapted if and only if, for every realisation and every ''n'', ''X_n'' is known at time ''n''. The concept of an adapted process is essential, for instance, in the definition of the Itō integral, which only makes sense if the integrand is an adapted process.

Definition

Let
* $(\Omega, \mathcal, \mathbb)$ be a probability space;
* $I$ be an index set with a total order $\leq$ (often, $I$ is $\mathbb$, $\mathbb_0$, $$, T/math> or $$filtration of the sigma algebra $\mathcal$;
* $(S,\Sigma)$ be a measurable space, the ''state space'';
* $X: I \times \Omega \to S$ be a stochastic process.

The process $X$ is said to be adapted to the filtration $\left(\mathcal_i\right)_$ if the random variable $X_i: \Omega \to S$ is a $(\mathcal_i, \Sigma)$-measurable function for each $i \in I$.

Examples

Consider a stochastic process ''X'' : , ''T''× Ω → R, and equip the real line R with its usual Borel sigma algebra generated by the open sets.

* If we take the natural filtration ''F''_•^''X'', where ''F''_''t''^''X'' is the ''σ''-algebra generated by the pre-images for Borel subsets ''B'' of R and times 0 ≤ ''s'' ≤ ''t'', then ''X'' is automatically ''F''_•^''X''-adapted. Intuitively, the natural filtration ''F''_•^''X'' contains "total information" about the behaviour of ''X'' up to time ''t''.
* This offers a simple example of a non-adapted process : set ''F''_''t'' to be the trivial ''σ''-algebra for times 0 ≤ ''t'' < 1, and ''F''_''t'' = ''F''_''t''^''X'' for times . Since the only way that a function can be measurable with respect to the trivial ''σ''-algebra is to be constant, any process ''X'' that is non-constant on , 1will fail to be ''F''_•-adapted. The non-constant nature of such a process "uses information" from the more refined "future" ''σ''-algebras ''F''_''t'', .

See also

* Predictable process
* Progressively measurable process

References

{{Reflist

Stochastic processes