Show simple item record

dc.contributor.authorPetrović, Ljiljana
dc.contributor.authorValjarević, Dragana
dc.date.accessioned2023-04-24T08:23:16Z
dc.date.available2023-04-24T08:23:16Z
dc.date.issued2018-06-15
dc.identifier.citation174024en_US
dc.identifier.urihttps://platon.pr.ac.rs/handle/123456789/1258
dc.description.abstractIn this paper we consider the concept of statistical causality between filtrations associated with stopping times, which is based on Granger’s definition of causality. Especially, we consider a generalization of a causality relationship ”G is a cause of E within H” from fixed to stopping time. Then we apply the given causality concept to local uniqueness for the solution of the martingale problem. Also, we give some applications in finance.en_US
dc.titleStatistical causality and local uniqueness for solutions of the martingale problemen_US
dc.title.alternativeFilomaten_US
dc.typeclanak-u-casopisuen_US
dc.description.versionpublishedVersionen_US
dc.identifier.doihttps://doi.org/10.2298/FIL1808851P
dc.citation.volume32
dc.citation.issue8
dc.citation.spage2851
dc.citation.epage2860
dc.type.mCategoryM22en_US
dc.type.mCategoryopenAccessen_US
dc.type.mCategoryM22en_US
dc.type.mCategoryopenAccessen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record