Causal predictability between stochastic processes and filtrations

DOI10.1080/17442508.2023.2214265OpenAlexW4378651987MaRDI QIDQ6189980FDOQ6189980

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

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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)

Cites Work

• Stochastic differential equations. An introduction with applications.
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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• Weak and strong solutions of stochastic differential equations
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• A Note on Noncausality
• Noncausality in Continuous Time
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• Changes of filtrations and of probability measures
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• On extremal solutions of martingale problems
• Statistical causality and measurable separability of \(\sigma \)-algebras

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