predictable process: Nonlinear Function
Created: August 27, 2022
Modified: August 27, 2022

predictable process

This page is from my personal notes, and has not been specifically reviewed for public consumption. It might be incomplete, wrong, outdated, or stupid. Caveat lector.

A stochastic process is predictable if its value at time t+1t + 1 is fully determined by information available at time tt.

Any fully deterministic process (where xt+1x_{t + 1} is a deterministic function of xtx_t) is obviously predictable, but predictability is a weaker condition, because we are allowed to use other information from whatever probability space we're using. For example, a roulette betting strategy is predictable if the bet at time t+1t + 1 is determined by the outcomes up to time tt, even if those outcomes (and thus the sequence of bets that depend on them) are themselves stochastic.