Statistical causality and local uniqueness for solutions of the martingale problem

DOI10.2298/FIL1808851PMaRDI QIDQ5024448zbMATH OpenOpenAlexWikidataFDO

Authors Ljiljana Petrović, Dragana Valjarević

Publication date 31 January 2022

Published in Filomat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/fil1808851p

zbMATH Keywords

causalityfiltrationlocal uniquenessstochastic differential equationstopped martingale problem

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of statistics to economics (62P20)

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Cited in

(5)

• Statistical causality and martingale representation property with application to stochastic differential equations
• Statistical causality and orthogonality of local martingales
• Statistical causality and extremal measures
• Statistical causality, martingale problems and local uniqueness
• Statistical causality and purely discontinuous local martingales

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