Continuity of filtrations of sigma algebras (Q1096953)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 4032679
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Continuity of filtrations of sigma algebras |
scientific article; zbMATH DE number 4032679 |
Statements
Continuity of filtrations of sigma algebras (English)
0 references
1987
0 references
The relationship between the continuity of sample paths and the continuity of the canonical filtration of a stochastic process is explored. The authors give two counterexamples to show that no such relationship exists; a process can have \(C^{\infty}\) sample paths and a discontinuous filtration or it can have a continuous filtration and arbitrarily irregular sample paths. After this, a characterization of all processes with continuous filtration is obtained and then this characterization is used to show that in a separable probability space a filtration can only have countably many points of discontinuity.
0 references
continuity of sample paths
0 references
continuity of the canonical filtration
0 references
discontinuous filtration
0 references
countably many points of discontinuity
0 references
0.7615402340888977
0 references
0.7579871416091919
0 references
0.7183815836906433
0 references
