Probability theory and stochastic processes Stochastic processes: general theory Concept
Filtration
Summary
A filtration is an increasing family of sub--algebras of the -algebra of a probability space, indexed by time. The -algebra models the information available at time , and information is never lost as time goes on. Filtrations are the setting for adapted processes, stopping times and martingales.
Where this leads
23 pages build on this one.
- Doob's upcrossing inequality
- Martingale representation theorem
- Doob's martingale inequality
- Adapted process
- Lévy's characterization of Brownian motion
- Optional stopping theorem
- Submartingale
- Malliavin calculus
- Tanaka's formula
- Supermartingale
- Doob's martingale convergence theorems
- Semimartingale
- Itô calculus
- Stopped process
- Burkholder–Davis–Gundy inequality
- Doob–Meyer decomposition theorem
- Lévy's upward theorem
- Stopping time
- Skorokhod's embedding theorem
- Stochastic differential equation
- Doob decomposition theorem
- Girsanov theorem
- Local martingale
Further reading
About this page
| Tag | HNK1Y62G7V |
|---|---|
| URI | m2://HNK1Y62G7V |
| Kind | concept |
| Writing | W0 stub |
| MSC | 60G05, 60G07 |
| Same as | |
| Changed | 2 November 2026 |
Markdown · JSON · Edit on GitHub
What this page needs for W1
- an inventory row: the row of the inventory that the node accounts for (0 of 1)
- a source with a locator (0 of 1)
The writing levels say how complete the text of a page is. They do not measure its truth.
What links here
Used by
- Doob's upcrossing inequality
- Martingale representation theorem
- Adapted process
- Lévy's characterization of Brownian motion
- Submartingale
- Supermartingale
- Semimartingale
- Itô calculus
- Stopped process
- Doob–Meyer decomposition theorem
- Lévy's upward theorem
- Stopping time
- Stochastic differential equation
- Doob decomposition theorem
- Local martingale