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Predictable random process

A stochastic process that is measurable (as a mapping ) with respect to the predictable sigma-algebra , where .


A.N. Shiryaev


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References

[a1]  C. Dellacherie,   P.A. Meyer,   "Probabilities and potential" , B , North-Holland  (1982)  (Translated from French)
[a2]  R.S. Liptser,   A.N. Shiryaev,   "Statistics of random processes" , II , Springer  (1978)  pp. 301ff  (Translated from Russian)
[a3]  R.Sh. Liptser,   A.N. [A.N. Shiryaev] Shiryayev,   "Theory of martingales" , Kluwer  (1989)  (Translated from Russian)

This text originally appeared in Encyclopaedia of Mathematics - ISBN 1402006098

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