Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales

DOI10.1007/S10852-009-9121-5MaRDI QIDQ655181zbMATH OpenOpenAlexFDO

Authors Ljiljana Petrović, Dragana Stanojević

Publication date 2 January 2012

Published in JMMA. Journal of Mathematical Modelling and Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10852-009-9121-5

zbMATH Keywords

causalitystochastic differential equationsemimartingaleweak solutionfiltrationmartingale problemextremal measureweak uniqueness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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Cited in

(21)

• Some models of causality and stochastic differential equations driven by fractional Brownian motion
• Statistical causality and adapted distribution
• Statistical causality and purely discontinuous local martingales
• Statistical causality and measurable separability of \(\sigma \)-algebras
• Causal interpretation of stochastic differential equations
• Statistical causality and extremal measures
• Causal predictability and weak solutions of the stochastic differential equations with driving semimartingales
• Causality between stopped filtrations and some applications
• Statistical causality, martingale problems and local uniqueness
• scientific article; zbMATH DE number 812715 (Why is no real title available?)
• Statistical causality, optional and predictable projections
• Invariance of statistical causality under convergence
• Statistical causality and local uniqueness for solutions of the martingale problem
• Statistical causality and martingale representation property with application to stochastic differential equations
• Causality with finite horizon of the past in continuous time
• Statistical causality and orthogonality of local martingales
• Statistical causality and separable processes
• scientific article; zbMATH DE number 5074350 (Why is no real title available?)
• Some models of causality and stochastic differential equations
• Causal predictability between stochastic processes and filtrations
• Statistical causality and stable subspaces of \(H^p\)

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