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Causality between Stopped Filtrations and Some Applications
Valjarević, Dragana
Petrović, Ljiljana
Abstract: In this paper we consider the concept of statistical causality in continuous time between filtrations associated with stopping times, which is based on Granger’s definition of causality. Especially, we consider a generalization of a causality relationship ‘‘H is a cause of E within F’’ from fixed to stopping time. Then we apply the given concept of causality to strongly orthogonal stopped martingales. We show the equivalence between the given concept of causality and orthogonality of stopped local martingales, too.
This work was financially supported by the Serbian Ministry of Science and Technology.
engleski
2021
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Keywords: causality; filtration; stopped local martingales; stopped orthogonal martingales
10.3103/S1068362321030080