Causal predictability between stochastic processes and filtrations

DOI10.1080/17442508.2023.2214265MaRDI QIDQ6189980zbMATH OpenOpenAlexFDO

Authors Ana Merkle

Publication date 5 February 2024

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2023.2214265

zbMATH Keywords

representation theoremstochastic differential equationsdefault riskfiltrationcausal predictabilityweak uniqueness of weak solution

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

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• A Note on Noncausality
• Changes of filtrations and of probability measures
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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• Statistical causality and measurable separability of \(\sigma \)-algebras
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