F process

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F process [′ef ‚präs·əs]

(mathematics)

A stochastic process {X_t,t> 0} whose value at timetis determined by the information up to timet; more precisely, the events {X_t≤a} belong toF_tfor everytanda, whereF= {F_t,t≥ 0} is an increasing family of sigma algebras that represents the amount of information increasing with time.

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