Naslov (eng)

STATISTICAL CAUSALITY AND EXTREMAL MEASURES

Autor

Petrović, Ljiljana
Valjarević, Dragana

Opis (eng)

Abstract In this paper we consider the concept of statistical causality in continuous time between flows of information, represented by filtrations. Then we relate the given concept of causality to the equivalent change of measure that plays an important role in mathematical finance. We give necessary and sufficient conditions, in terms of statistical causality, for extremality of measure in the set of martingale measures. Also, we have considered the extremality of measure which involves the stopping time and the stopped processes, and obtained similar results. Finally, we show that the concept of unique equivalent martingale measure is strongly connected to the given concept of causality and apply this result to the continuous market model.

Opis (eng)

This work was financially supported by Serbian Ministry of Science and Technology (Grants 044006 and 179005).

Jezik

engleski

Datum

2018

Licenca

© All rights reserved

Predmet

Keywords filtration; Granger's causality; extremal measure; equivalent martingale measure

Deo kolekcije (1)

o:28218

Ekonomski fakultet