STATISTICAL CAUSALITY AND MARTINGALE REPRESENTATION PROPERTY WITH APPLICATION TO STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.1017/S000497271400029XzbMath1315.60046MaRDI QIDQ2922947

Ljiljana Petrović, Dragana Valjarević

Publication date: 15 October 2014

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

semimartingalesstochastic differential equationsfiltrationsmartingale representation propertylocal martingalesstatistical causality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

Related Items (1)

Non-extremal martingale with Brownian filtration

Cites Work

• Statistical causality and orthogonality of local martingales
• Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Causality and Markovian representations
• Continuous Stochastic Calculus with Applications to Finance
• STATISTICAL CAUSALITY AND STABLE SUBSPACES OF
• Changes of filtrations and of probability measures
• Causality and Stochastic Dynamic Systems
• Existence of weak solutions for stochastic differential equations with driving semimartingales
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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