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Acta Mathematica Vietnamica

ON THE TWO-SIDED PREDICTABLE APPROXIMATION FOR STOCHASTIC PROCESSES

icon-email NGUYEN MINH DUC

Abstract

The two-sided predictable stochastic processes are introduced to show that they can approximate every bounded measurable stochastic process $(X_t(\omega), 0 < t\leq 1)\ P$-almost surely uniformly in $t$. Consequently, it is proved that the two-sided predictable algebra also generates the product $\sigma$-field $\mathcal B((0; 1])\otimes ­\mathcal F$.