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dc.contributor.authorValjarević, Dragana
dc.contributor.authorPetrović, Ljiljana
dc.date.accessioned2023-04-24T07:36:12Z
dc.date.available2023-04-24T07:36:12Z
dc.date.issued2021-07-21
dc.identifier.citation174024en_US
dc.identifier.urihttps://platon.pr.ac.rs/handle/123456789/1254
dc.description.abstractThe statistical concept of causality in continuous time between filtered probability spaces considered in this paper is based on Granger’s definition of causality. The given concept of causality can be connected to the purely discontinuous property for martingale and filtration. If M is a purely discontinuous local martingale with respect to purely discontinuous filtration (Gt), we prove that M will remain purely discontinuous local martingale with respect to an extension (Ft) of the filtration (Gt) if and only if (Gt) is its own cause within (Ft). Moreover, we give conditions for a natural filtration of the purely discontinuous martingale Xt to be a purely discontinuous filtration, using the property of causality. We also, consider the connection between the concept of statistical causality and the weak predictable representation property for purely discontinuous local martingales.en_US
dc.publisherTaylor and Francisen_US
dc.titleStatistical causality and purely discontinuous local martingalesen_US
dc.title.alternativeStochastics: An International Journal of Probability and Stochastic Processesen_US
dc.typeclanak-u-casopisuen_US
dc.description.versionpublishedVersionen_US
dc.identifier.doi10.1080/17442508.2020.1844707
dc.citation.volume93
dc.citation.issue7
dc.citation.spage1043
dc.citation.epage1051
dc.type.mCategoryM23en_US
dc.type.mCategoryclosedAccessen_US
dc.type.mCategoryM23en_US
dc.type.mCategoryclosedAccessen_US


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