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

DOI10.1007/S10852-009-9121-5zbMATH Open1229.60055OpenAlexW2074242862MaRDI QIDQ655181FDOQ655181

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

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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)

• Causality between stopped filtrations and some applications
• Title not available (Why is that?)
• Some models of causality and stochastic differential equations driven by fractional Brownian motion
• Statistical causality and separable processes
• Statistical causality and adapted distribution
• Statistical causality and stable subspaces of \(H^p\)
• Statistical causality and martingale representation property with application to stochastic differential equations
• Title not available (Why is that?)
• Causality with finite horizon of the past in continuous time
• Statistical causality and orthogonality of local martingales
• Statistical causality, martingale problems and local uniqueness
• Invariance of statistical causality under convergence
• Causal predictability between stochastic processes and filtrations
• Statistical causality and local uniqueness for solutions of the martingale problem
• Statistical causality and purely discontinuous local martingales
• Some models of causality and stochastic differential equations
• Statistical causality, optional and predictable projections
• Causal interpretation of stochastic differential equations
• Statistical causality and extremal measures
• Causal predictability and weak solutions of the stochastic differential equations with driving semimartingales
• Statistical causality and measurable separability of \(\sigma \)-algebras

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