diff --git a/src/measure_theory/measurable_space_def.lean b/src/measure_theory/measurable_space_def.lean
index 68725def2c972..49e6718609998 100644
--- a/src/measure_theory/measurable_space_def.lean
+++ b/src/measure_theory/measurable_space_def.lean
@@ -423,4 +423,8 @@ lemma measurable.comp {g : β → γ} {f : α → β} (hg : measurable g) (hf :
 @[simp] lemma measurable_const {a : α} : measurable (λ b : β, a) :=
 assume s hs, measurable_set.const (a ∈ s)
 
+lemma measurable.le {α} {m m0 : measurable_space α} (hm : m ≤ m0) {f : α → β}
+  (hf : measurable[m] f) : measurable[m0] f :=
+λ s hs, hm _ (hf hs)
+
 end measurable_functions
diff --git a/src/probability_theory/stopping.lean b/src/probability_theory/stopping.lean
new file mode 100644
index 0000000000000..085d670165e94
--- /dev/null
+++ b/src/probability_theory/stopping.lean
@@ -0,0 +1,294 @@
+/-
+Copyright (c) 2021 Kexing Ying. All rights reserved.
+Released under Apache 2.0 license as described in the file LICENSE.
+Authors: Kexing Ying
+-/
+import measure_theory.constructions.borel_space
+
+/-!
+# Filtration and stopping time
+
+This file defines some standard definition from the theory of stochastic processes including
+filtrations and stopping times. These definitions are used to model the amount of information
+at a specific time and is the first step in formalizing stochastic processes.
+
+## Main definitions
+
+* `measure_theory.filtration`: a filtration on a measurable space
+* `measure_theory.adapted`: a sequence of functions `u` is said to be adapted to a
+  filtration `f` if at each point in time `i`, `u i` is `f i`-measurable
+* `measure_theory.filtration.natural`: the natural filtration with respect to a sequence of
+  measurable functions is the smallest filtration to which it is adapted to
+* `measure_theory.stopping_time`: a stopping time with respect to some filtration `f` is a
+  function `τ` such that for all `i`, the preimage of `{j | j ≤ i}` along `τ` is
+  `f i`-measurable
+* `measure_theory.stopping_time.measurable_space`: the σ-algebra associated with a stopping time
+
+## Tags
+
+filtration, stopping time, stochastic process
+
+-/
+
+noncomputable theory
+open_locale classical measure_theory nnreal ennreal topological_space
+
+namespace measure_theory
+
+/-- A `filtration` on measurable space `α` with σ-algebra `m` is a monotone
+sequence of of sub-σ-algebras of `m`. -/
+structure filtration {α : Type*} (ι : Type*) [preorder ι] (m : measurable_space α) :=
+(seq : ι → measurable_space α)
+(mono : monotone seq)
+(le : ∀ i : ι, seq i ≤ m)
+
+variables {α β ι : Type*} {m : measurable_space α} [measurable_space β]
+
+open topological_space
+
+section preorder
+
+variables [preorder ι]
+
+instance : has_coe_to_fun (filtration ι m) (λ _, ι → measurable_space α) :=
+⟨λ f, f.seq⟩
+
+/-- The constant filtration which is equal to `m` for all `i : ι`. -/
+def const_filtration (m : measurable_space α) : filtration ι m :=
+⟨λ _, m, monotone_const, λ _, le_rfl⟩
+
+instance : inhabited (filtration ι m) :=
+⟨const_filtration m⟩
+
+lemma measurable_set_of_filtration {f : filtration ι m} {s : set α} {i : ι}
+  (hs : measurable_set[f i] s) : measurable_set[m] s :=
+f.le i s hs
+
+/-- A measure is σ-finite with respect to filtration if it is σ-finite with respect
+to all the sub-σ-algebra of the filtration. -/
+class sigma_finite_filtration (μ : measure α) (f : filtration ι m) : Prop :=
+(sigma_finite : ∀ i : ι, sigma_finite (μ.trim (f.le i)))
+
+instance sigma_finite_of_sigma_finite_filtration (μ : measure α) (f : filtration ι m)
+  [hf : sigma_finite_filtration μ f] (i : ι) :
+  sigma_finite (μ.trim (f.le i)) :=
+by apply hf.sigma_finite -- can't exact here
+
+/-- A sequence of functions `u` is adapted to a filtration `f` if for all `i`,
+`u i` is `f i`-measurable. -/
+def adapted (f : filtration ι m) (u : ι → α → β) : Prop :=
+∀ i : ι, measurable[f i] (u i)
+
+namespace adapted
+
+lemma add [has_add β] [has_measurable_add₂ β] {u v : ι → α → β} {f : filtration ι m}
+  (hu : adapted f u) (hv : adapted f v) : adapted f (u + v):=
+λ i, @measurable.add _ _ _ _ (f i) _ _ _ (hu i) (hv i)
+
+lemma neg [has_neg β] [has_measurable_neg β] {u : ι → α → β} {f : filtration ι m}
+  (hu : adapted f u) : adapted f (-u) :=
+λ i, @measurable.neg _ α _ _ _ (f i) _ (hu i)
+
+lemma smul [has_scalar ℝ β] [has_measurable_smul ℝ β] {u : ι → α → β} {f : filtration ι m}
+  (c : ℝ) (hu : adapted f u) : adapted f (c • u) :=
+λ i, @measurable.const_smul ℝ β α _ _ _ (f i) _ _ (hu i) c
+
+end adapted
+
+variable (β)
+
+lemma adapted_zero [has_zero β] (f : filtration ι m) : adapted f (0 : ι → α → β) :=
+λ i, @measurable_zero β α _ (f i) _
+
+variable {β}
+
+namespace filtration
+
+/-- Given a sequence of functions, the natural filtration is the smallest sequence
+of σ-algebras such that that sequence of functions is measurable with respect to
+the filtration. -/
+def natural (u : ι → α → β) (hum : ∀ i, measurable (u i)) : filtration ι m :=
+{ seq := λ i, ⨆ j ≤ i, measurable_space.comap (u j) infer_instance,
+  mono := λ i j hij, bsupr_le_bsupr' $ λ k hk, le_trans hk hij,
+  le := λ i, bsupr_le (λ j hj s hs, let ⟨t, ht, ht'⟩ := hs in ht' ▸ hum j ht) }
+
+lemma adapted_natural {u : ι → α → β} (hum : ∀ i, measurable[m] (u i)) :
+  adapted (natural u hum) u :=
+λ i, measurable.le (le_bsupr_of_le i (le_refl i) (le_refl _)) (λ s hs, ⟨s, hs, rfl⟩)
+
+end filtration
+
+variables {μ : measure α} {f : filtration ι m}
+
+/-- A stopping time with respect to some filtration `f` is a function
+`τ` such that for all `i`, the preimage of `{j | j ≤ i}` along `τ` is measurable
+with respect to `f i`.
+
+Intuitively, the stopping time `τ` describes some stopping rule such that at time
+`i`, we may determine it with the information we have at time `i`. -/
+def is_stopping_time (f : filtration ι m) (τ : α → ι) :=
+∀ i : ι, measurable_set[f i] $ {x | τ x ≤ i}
+
+lemma is_stopping_time.measurable_set_eq
+  {f : filtration ℕ m} {τ : α → ℕ} (hτ : is_stopping_time f τ) (i : ℕ) :
+  measurable_set[f i] $ {x | τ x = i} :=
+begin
+  cases i,
+  { convert (hτ 0),
+    simp only [set.set_of_eq_eq_singleton, le_zero_iff] },
+  { rw (_ : {x | τ x = i + 1} = {x | τ x ≤ i + 1} \ {x | τ x ≤ i}),
+    { exact @measurable_set.diff _ (f (i + 1)) _ _ (hτ (i + 1))
+        (f.mono (nat.le_succ _) _ (hτ i)) },
+    { ext, simp only [set.mem_diff, not_le, set.mem_set_of_eq],
+      split,
+      { intro h, simp [h] },
+      { rintro ⟨h₁, h₂⟩,
+        linarith } } }
+end
+
+lemma is_stopping_time.measurable_set_eq_le
+  {f : filtration ℕ m} {τ : α → ℕ} (hτ : is_stopping_time f τ) {i j : ℕ} (hle : i ≤ j) :
+  measurable_set[f j] $ {x | τ x = i} :=
+f.mono hle _ $ hτ.measurable_set_eq i
+
+lemma is_stopping_time_of_measurable_set_eq
+  {f : filtration ℕ m} {τ : α → ℕ} (hτ : ∀ i, measurable_set[f i] $ {x | τ x = i}) :
+  is_stopping_time f τ :=
+begin
+  intro i,
+  rw show {x | τ x ≤ i} = ⋃ k ≤ i, {x | τ x = k}, by { ext, simp },
+  refine @measurable_set.bUnion _ _ (f i) _ _ (set.countable_encodable _) (λ k hk, _),
+  exact f.mono hk _ (hτ k),
+end
+
+lemma is_stopping_time_const {f : filtration ι m} (i : ι) :
+  is_stopping_time f (λ x, i) :=
+λ j, by simp
+
+end preorder
+
+namespace is_stopping_time
+
+lemma max [linear_order ι] {f : filtration ι m} {τ π : α → ι}
+  (hτ : is_stopping_time f τ) (hπ : is_stopping_time f π) :
+  is_stopping_time f (λ x, max (τ x) (π x)) :=
+begin
+  intro i,
+  simp_rw [max_le_iff, set.set_of_and],
+  exact @measurable_set.inter _ (f i) _ _ (hτ i) (hπ i),
+end
+
+lemma min [linear_order ι] {f : filtration ι m} {τ π : α → ι}
+  (hτ : is_stopping_time f τ) (hπ : is_stopping_time f π) :
+  is_stopping_time f (λ x, min (τ x) (π x)) :=
+begin
+  intro i,
+  simp_rw [min_le_iff, set.set_of_or],
+  exact @measurable_set.union _ (f i) _ _ (hτ i) (hπ i),
+end
+
+lemma add_const
+  [add_group ι] [preorder ι] [covariant_class ι ι (function.swap (+)) (≤)]
+  [covariant_class ι ι (+) (≤)]
+  {f : filtration ι m} {τ : α → ι} (hτ : is_stopping_time f τ) {i : ι} (hi : 0 ≤ i) :
+  is_stopping_time f (λ x, τ x + i) :=
+begin
+  intro j,
+  simp_rw [← le_sub_iff_add_le],
+  exact f.mono (sub_le_self j hi) _ (hτ (j - i)),
+end
+
+variables [preorder ι] {f : filtration ι m}
+
+/-- The associated σ-algebra with a stopping time. -/
+def measurable_space
+  {τ : α → ι} (hτ : is_stopping_time f τ) : measurable_space α :=
+{ measurable_set' := λ s, ∀ i : ι, measurable_set[f i] (s ∩ {x | τ x ≤ i}),
+    measurable_set_empty :=
+      λ i, (set.empty_inter {x | τ x ≤ i}).symm ▸ @measurable_set.empty _ (f i),
+    measurable_set_compl := λ s hs i,
+      begin
+        rw (_ : sᶜ ∩ {x | τ x ≤ i} = (sᶜ ∪ {x | τ x ≤ i}ᶜ) ∩ {x | τ x ≤ i}),
+        { refine @measurable_set.inter _ (f i) _ _ _ _,
+          { rw ← set.compl_inter,
+            exact @measurable_set.compl _ _ (f i) (hs i) },
+          { exact hτ i} },
+        { rw set.union_inter_distrib_right,
+          simp only [set.compl_inter_self, set.union_empty] }
+      end,
+    measurable_set_Union := λ s hs i,
+      begin
+        rw forall_swap at hs,
+        rw set.Union_inter,
+        exact @measurable_set.Union _ _ (f i) _ _ (hs i),
+      end }
+
+@[protected]
+lemma measurable_set {τ : α → ι} (hτ : is_stopping_time f τ) (s : set α) :
+  measurable_set[hτ.measurable_space] s ↔
+  ∀ i : ι, measurable_set[f i] (s ∩ {x | τ x ≤ i}) :=
+iff.rfl
+
+lemma measurable_space_mono
+  {τ π : α → ι} (hτ : is_stopping_time f τ) (hπ : is_stopping_time f π) (hle : τ ≤ π) :
+  hτ.measurable_space ≤ hπ.measurable_space :=
+begin
+  intros s hs i,
+  rw (_ : s ∩ {x | π x ≤ i} = s ∩ {x | τ x ≤ i} ∩ {x | π x ≤ i}),
+  { exact @measurable_set.inter _ (f i) _ _ (hs i) (hπ i) },
+  { ext,
+    simp only [set.mem_inter_eq, iff_self_and, and.congr_left_iff, set.mem_set_of_eq],
+    intros hle' _,
+    exact le_trans (hle _) hle' },
+end
+
+lemma measurable_space_le [encodable ι] {τ : α → ι} (hτ : is_stopping_time f τ) :
+  hτ.measurable_space ≤ m :=
+begin
+  intros s hs,
+  change ∀ i, measurable_set[f i] (s ∩ {x | τ x ≤ i}) at hs,
+  rw (_ : s = ⋃ i, s ∩ {x | τ x ≤ i}),
+  { exact measurable_set.Union (λ i, f.le i _ (hs i)) },
+  { ext x, split; rw set.mem_Union,
+    { exact λ hx, ⟨τ x, hx, le_refl _⟩ },
+    { rintro ⟨_, hx, _⟩,
+      exact hx } }
+end
+
+section nat
+
+lemma measurable_set_eq_const {f : filtration ℕ m}
+  {τ : α → ℕ} (hτ : is_stopping_time f τ) (i : ℕ) :
+  measurable_set[hτ.measurable_space] {x | τ x = i} :=
+begin
+  rw hτ.measurable_set,
+  intro j,
+  by_cases i ≤ j,
+  { rw (_ : {x | τ x = i} ∩ {x | τ x ≤ j} = {x | τ x = i}),
+    { exact hτ.measurable_set_eq_le h },
+    { ext,
+      simp only [set.mem_inter_eq, and_iff_left_iff_imp, set.mem_set_of_eq],
+      rintro rfl,
+      assumption } },
+  { rw (_ : {x | τ x = i} ∩ {x | τ x ≤ j} = ∅),
+    { exact @measurable_set.empty _ (f j) },
+    { ext,
+      simp only [set.mem_empty_eq, set.mem_inter_eq, not_and, not_le, set.mem_set_of_eq, iff_false],
+      rintro rfl,
+      rwa not_le at h } }
+end
+
+lemma measurable {f : filtration ℕ m} {τ : α → ℕ} (hτ : is_stopping_time f τ) :
+  measurable[hτ.measurable_space] τ :=
+begin
+  refine @measurable_to_encodable ℕ α ⊤ hτ.measurable_space _ τ _,
+  intro y,
+  simp_rw [set.preimage, set.mem_singleton_iff],
+  exact is_stopping_time.measurable_set_eq_const _ _,
+end
+
+end nat
+
+end is_stopping_time
+
+end measure_theory