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Martingale
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Words: 219
Articles: 8
In discrete time, a process
A
n
is predictable or previsible when
A
n
is
F
n
−
1
-measurable for every
n
≥
1
.
Table of contents
219
8
Martingale transform
Predictable process
186
6
Recovery of a martingale-transform integrand by conditional covariance
Martingale transform
14
Stopped martingale
Martingale transform
23
Reflection principle for simple symmetric random walk
Martingale transform
74
1
Point probability for the maximum of simple symmetric random walk
Reflection principle for simple symmetric random walk
29
Predictable representation in a Rademacher filtration
Martingale transform
58
1
Stopped martingale isometry in a Rademacher filtration
Predictable representation in a Rademacher filtration
31
Predictable compensator of a discrete supermartingale
Predictable process
13
Ancestors
(6)
Martingale
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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(6)
Discrete-time expected-utility portfolio problem
Solution
Solution
Solution
Solution
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Synonyms
(1)
Previsible process