Adapted probability distributions

Hoover, Douglas N.; Keisler, H. Jerome

doi:10.1090/S0002-9947-1984-0756035-8

Adapted probability distributions
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by Douglas N. Hoover and H. Jerome Keisler

Trans. Amer. Math. Soc. 286 (1984), 159-201

DOI: https://doi.org/10.1090/S0002-9947-1984-0756035-8

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Abstract:

We introduce a family of notions of equivalence for stochastic processes on spaces with an underlying filtration. These refine the notion of having the same distribution by taking account of the relation of the processes to their underlying filtrations. The weakest of these notions is the same as the notion of synonymity introduced by Aldous. Analysis of the strongest equivalence property leads to spaces with a strong universality property for adapted stochastic processes, which we call saturation. Spaces having this property contain ’strong’ solutions to a large class of stochastic integral equations.

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