Natural filtration
From Wikipedia, the free encyclopedia
In the theory of stochastic processes, the Natural filtration w.r.t. Xt is the filtration produced by the stochastic process {Xt} i.e. Ft is the least σ-algebra including 
(with B being the Borel σ-algebra). 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.
