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It is in a sense the simplest filtration available for studying the given process: all information concerning the process, and only that information, is available in the natural filtration. i.e., the smallest \u03C3-algebra on \u03A9 that contains all pre-images of \u03A3-measurable subsets of S for \"times\" j up to i." , "lang" : "en" } ] , "http://purl.org/dc/terms/subject" : [ { "type" : "uri", "value" : "http://dbpedia.org/resource/Category:Stochastic_processes" } ] , "http://dbpedia.org/ontology/abstract" : [ { "type" : "literal", "value" : "In the theory of stochastic processes in mathematics and statistics, the generated filtration or natural filtration associated to a stochastic process is a filtration associated to the process which records its \"past behaviour\" at each time. It is in a sense the simplest filtration available for studying the given process: all information concerning the process, and only that information, is available in the natural filtration. More formally, let (\u03A9, F, P) be a probability space; let (I, \u2264) be a totally ordered index set; let (S, \u03A3) be a measurable space; let X : I \u00D7 \u03A9 \u2192 S be a stochastic process. Then the natural filtration of F with respect to X is defined to be the filtration F\u2022X = (FiX)i\u2208I given by i.e., the smallest \u03C3-algebra on \u03A9 that contains all pre-images of \u03A3-measurable subsets of S for \"times\" j up to i. In many examples, the index set I is the natural numbers N (possibly including 0) or an interval [0, T] or [0, +\u221E); the state space S is often the real line R or Euclidean space Rn. 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