Statistical causality and local uniqueness for solutions of the martingale problem
Otvaranje
Datum postavljanja dokumenta
2018-06-15Autori
Petrović, Ljiljana
Valjarević, Dragana
Metapodaci
Prikaz svih podataka o dokumentuApstrakt
In 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.
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openAccess