Statistical causality and orthogonality of local martingales

DOI10.1016/J.SPL.2012.03.036zbMath1296.60108OpenAlexW2013912653MaRDI QIDQ449392

Dragana Valjarević, Ljiljana Petrović

Publication date: 30 August 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.03.036

zbMATH Keywords

filtrationcausalitylocal martingalesorthogonal martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (5)

STATISTICAL CAUSALITY AND MARTINGALE REPRESENTATION PROPERTY WITH APPLICATION TO STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Statistical causality and purely discontinuous local martingales ⋮ Causality between stopped filtrations and some applications ⋮ Unnamed Item ⋮ STATISTICAL CAUSALITY AND STABLE SUBSPACES OF

Cites Work

• Minimal martingale measure: pricing and hedging in a pure jump model under restricted information
• Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales
• Causality and Markovian representations
• Option hedging for semimartingales
• Changes of filtrations and of probability measures
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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