Naslov (eng)

Statistical Causality and Local Uniqueness for Solutions of the Martingale Problem

Autor

Petrović, Ljiljana
Valjarević, Dragana

Opis (eng)

Abstract: 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.

Jezik

engleski

Datum

2018

Licenca

© All rights reserved

Predmet

Keywords. Filtration, causality, stochastic differential equation, local uniqueness, stopped martingale problem.

Deo kolekcije (1)

o:28218

Ekonomski fakultet