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Information and Stochastic Processes

In: Market-Consistent Prices

Author

Listed:
  • Pablo Koch-Medina

    (University of Zurich, Department of Banking and Finance)

  • Cosimo Munari

    (University of Zurich, Department of Banking and Finance)

Abstract

In this short chapter we describe how to model the flow of information through time. As time progresses, we will typically know more and more about the terminal outcome of a random experiment. In line with the framework developed in the previous chapters, the flow of information can be represented by a sequence of refining partitions, which we call an information structure. A time sequence of random variables is usually called a stochastic process. If each component of a process is measurable with respect to the corresponding component of the information structure, then we speak of an adapted process.

Suggested Citation

  • Pablo Koch-Medina & Cosimo Munari, 2020. "Information and Stochastic Processes," Springer Books, in: Market-Consistent Prices, chapter 13, pages 221-233, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-39724-1_13
    DOI: 10.1007/978-3-030-39724-1_13
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