Created: August 27, 2022
Modified: 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 It might be incomplete, wrong, outdated, or stupid.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 is fully determined by information available at time .
Any fully deterministic process (where is a deterministic function of ) 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 is determined by the outcomes up to time , even if those outcomes (and thus the sequence of bets that depend on them) are themselves stochastic.