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

semimartingales; stochastic differential equations; filtrations; martingale representation property; local martingales; statistical causality

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G48: Generalizations of martingales

60G44: Martingales with continuous parameter

Related Items

Non-extremal martingale with Brownian filtration

Cites Work

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