In the theory of stochastic processes in mathematics

Mathematics

Mathematics is the study of quantity, space, structure, and change. Mathematicians seek out patterns and formulate new conjectures. Mathematicians resolve the truth or falsity of conjectures by mathematical proofs, which are arguments sufficient to convince other mathematicians of their validity...

 and statistics

Statistics

Statistics is the study of the collection, organization, analysis, and interpretation of data. It deals with all aspects of this, including the planning of data collection in terms of the design of surveys and experiments....

, the natural filtration associated to a stochastic process is a filtration

Filtration (abstract algebra)

In mathematics, a filtration is an indexed set Si of subobjects of a given algebraic structure S, with the index i running over some index set I that is a totally ordered set, subject to the condition that if i ≤ j in I then Si ⊆ Sj...

 associated to the process which records its "past behaviour" at each time. It is in a sense the simplest filtration available for studying the given process: all information concerning the process, and only that information, is available in the natural filtration.

More formally, let (Ω, F, P) be a probability space

Probability space

In probability theory, a probability space or a probability triple is a mathematical construct that models a real-world process consisting of states that occur randomly. A probability space is constructed with a specific kind of situation or experiment in mind...

; let (I, ≤) be a totally ordered

Total order

In set theory, a total order, linear order, simple order, or ordering is a binary relation on some set X. The relation is transitive, antisymmetric, and total...

 index set

Index set

In mathematics, the elements of a set A may be indexed or labeled by means of a set J that is on that account called an index set...

; let (S, Σ) be a measurable space; let X : I × Ω → S be a stochastic process. Then the natural filtration of F with respect to X is defined to be the filtration F_•^X = (F_i^X)_i∈I given by


i.e., the smallest σ-algebra on Ω that contains all pre-images of Σ-measurable subsets of S for "times" j up to i.

In many examples, the index set I is the natural numbers N (possibly including 0) or an interval

Interval (mathematics)

In mathematics, a interval is a set of real numbers with the property that any number that lies between two numbers in the set is also included in the set. For example, the set of all numbers satisfying is an interval which contains and , as well as all numbers between them...

 [0, T] or [0, +∞); the state space S is often the real line

Real line

In mathematics, the real line, or real number line is the line whose points are the real numbers. That is, the real line is the set of all real numbers, viewed as a geometric space, namely the Euclidean space of dimension one...

 R or Euclidean space

Euclidean space

In mathematics, Euclidean space is the Euclidean plane and three-dimensional space of Euclidean geometry, as well as the generalizations of these notions to higher dimensions...

 Rⁿ.

Any stochastic process X is an adapted process

Adapted process

In the study of stochastic processes, an adapted process is one that cannot "see into the future". An informal interpretation is that X is adapted if and only if, for every realisation and every n, Xn is known at time n...

with respect to its natural filtration.