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Adapted process

Stochastic process

Wikipedia contributorsAdapted for Fathomly · View authors
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Source updated November 4, 2025

In the study of stochastic processes, a stochastic process is adapted (also referred to as a non-anticipating or non-anticipative process) if information about the value of the process at a given time is available at that same time. An informal interpretation is that X is adapted if and only if, for every realisation and every n, Xn 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.

01Definition

Let

The stochastic process (X_{i})_{i\in I} is said to be adapted to the filtration \left({\mathcal {F}}_{i}\right)_{i\in I} if the random variable X_{i}:\Omega \to S is a ({\mathcal {F}}_{i},\Sigma )-measurable function for each i\in I.

02Examples

Consider a stochastic process X : [0, 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 FtX is the σ-algebra generated by the pre-images Xs−1(B) 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 X : [0, 2] × Ω → R: set Ft to be the trivial σ-algebra {∅, Ω} for times 0 ≤ t < 1, and Ft = FtX for times 1 ≤ t ≤ 2. 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 [0, 1] will fail to be F•-adapted. The non-constant nature of such a process "uses information" from the more refined "future" σ-algebras Ft, 1 ≤ t ≤ 2.
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Sources and credits

This article is adapted from the Wikipedia article “Adapted process”, written by its contributors and licensed under CC BY-SA 4.0. Fathomly has changed the layout, removed citation markers, navigation and maintenance notices, and adjusted punctuation. This adapted version is shared under the same license. For references, see the original article.

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