Definition:Natural Filtration

Definition
Let $\struct {X, \Sigma}$ be a measurable space.

Let $\sequence {X_n}_{n \ge 0}$ be a sequence of real-valued random variables.

We define the natural filtration $\sequence {\FF_n^X}_{n \ge 0}$ by:


 * $\FF_n^X = \map \sigma {X_0, X_1, \ldots, X_n}$

for each $n \ge 0$, where $\map \sigma {X_0, X_1, \ldots, X_n}$ is the $\sigma$-algebra generated by $\sequence {X_0, X_1, \ldots, X_n}$.

Also see

 * Natural Filtration is Filtration