Statistical causality, martingale problems and local uniqueness

DOI10.1080/17442508.2017.1318137zbMATH Open1498.60165OpenAlexW2782116420MaRDI QIDQ5085833FDOQ5085833

Authors: Ljiljana Petrović, Dragana Valjarević 

Publication date: 30 June 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2017.1318137

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zbMATH Keywords

causalitymartingale problemlocal uniquenesslocal martingale problemstopped martingale problemstrict stopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

Cites Work

• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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• Calcul stochastique et problèmes de martingales
• Weak and strong solutions of stochastic differential equations
• Noncausality in Continuous Time
• Changes of filtrations and of probability measures
• Causality and Stochastic Dynamic Systems
• Invariance of statistical causality under convergence
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• Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales
• On the existence of weak solutions for stochastic differential equations with driving martingales and random measures
• Existence of weak solutions for stochastic differential equations with driving semimartingales
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• Markovian extensions of a stochastic process

Cited In (13)

• Statistical causality and separable processes
• Statistical causality and stable subspaces of \(H^p\)
• Statistical causality and martingale representation property with application to stochastic differential equations
• Causality and statistics on the Groenewold-Moyal plane
• Causality with finite horizon of the past in continuous time
• Statistical causality and orthogonality of local martingales
• Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales
• Invariance of statistical causality under convergence
• Statistical causality and local uniqueness for solutions of the martingale problem
• Statistical causality and purely discontinuous local martingales
• Statistical causality, optional and predictable projections
• Statistical causality and extremal measures
• Statistical causality and measurable separability of \(\sigma \)-algebras

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