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Connected Guides
  • σ-algebras and Borel sets
  • Independence and product measures
  • Measure theory in option pricing
  • Probability spaces, σ-algebras and random variables
  • Filtrations, adapted processes and stopping times

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Filtration

Controls

Event A(a, b]
0.20
01
0.62
01
Outcome
0.41
01
Digits read
6
010
What is known after n digits of ω
decidedn = 00%n = 10%n = 250%n = 375%n = 487.5%n = 593.8%n = 696.9%a = 0.20ω = 0.41b = 0.6200.250.50.751surely in Asurely not in Aundecidedthe block ω is known to be in
ω in binary
0.011010…
what 6 digits reveal
ω ∈ [0.406, 0.422)
P(A | ℱₙ)(ω) for n = 4, 5, 6
1 → 1 → 1
outcomes where A is decided
96.9%

About this tool

A filtration is information that only grows. Here a number ω between 0 and 1 is drawn at random and revealed one binary digit at a time. After n digits you know which of the 2ⁿ equal blocks ω lies in, and that partition is the σ-algebra ℱₙ. Pick an event, an interval (a, b], and watch how many outcomes it decides: blocks inside the interval answer yes, blocks outside answer no, and only the blocks at the two ends stay open. The conditional probability of the event given ℱₙ moves towards 0 or 1 as digits arrive. Knowledge only accumulates: every new digit refines the blocks and nothing is ever forgotten.