Forms of inclusion between processes
[For the entire collection see Zbl 0745.00038.] Let \(W:=(W_ s)_{-\infty<s<\infty}\) be a right continuous with left limits stochastic process defined on the complete metric space \((\Omega,{\mathcal F},P)\). The past (resp. future) of \(W\) at time \(t\) is defined as \(M^ W_ t=\sigma(W_ s:s\leq t)\) (resp. \(N^ W_ t=\sigma(W_ s:s\geq t))\). The author discusses various types of inclusion between two given stochastic processes \(X=(X_ s)_{- \infty<s<\infty}\), \(Y=(Y_ s)_{-\infty<s<\infty}\), and summarizes the main results in the following Theorem 15. If \(M^ X_{t+}\equiv M^ Y_{t+}\) for all \(t\), then we have, \(Y_ t=f_ t(X_ t)\), \(\forall t\Rightarrow N^ X_ t\overline\supseteq N^ Y_ t\), \(\forall t\) \(\Leftrightarrow Z^ Y_ t\) is lineary functionally dependent on \(Z^ X_ t\), \(\forall t\Rightarrow N^{2X}_ t\overline\supseteq N^{2Y}_ t\), \(\forall t\) \(\Leftrightarrow Z^ Y_ t\) is nonlinearly functionally dependent on \(Z^ X_ t\), \(\forall t\). \(Z^ W_ t\) denotes the prediction process of \(W\) in the sense given by Definition 4 which is to long to be stated here.
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