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dc.contributor.authorPetrović, Ljiljana
dc.contributor.authorValjarević, Dragana
dc.date.accessioned2023-04-24T07:43:56Z
dc.date.available2023-04-24T07:43:56Z
dc.date.issued2018-07-21
dc.identifier.citation174024en_US
dc.identifier.urihttps://platon.pr.ac.rs/handle/123456789/1255
dc.description.abstractThe paper considers a statistical concept of causality in continuous time in the filtered probability spaces which is based on the Granger’s definition of causality. The given causality concept is then applied to the solution of the martingale problem (associated with the stochastic differential equation driven with semimartingales). More precisely, we show that the given causality concept is closely connected to the concept of extremality of measures for the solutions of the martingale problem, for the stopped martingale problem and for the local martingale problem. We also show the equivalence between some models of causality and local uniqueness (for the solutions of the martingale problem).en_US
dc.publisherTaylor and Francisen_US
dc.titleStatistical causality, martingale problems and local uniquenessen_US
dc.title.alternativeStochastics: An International Journal of Probability and Stochastic Processesen_US
dc.typeclanak-u-casopisuen_US
dc.description.versionpublishedVersionen_US
dc.identifier.doihttp://dx.doi.org/10.1080/17442508.2017.1318137
dc.citation.volume90
dc.citation.issue2
dc.citation.spage200
dc.citation.epage213
dc.type.mCategoryM23en_US
dc.type.mCategoryclosedAccessen_US
dc.type.mCategoryM23en_US
dc.type.mCategoryclosedAccessen_US


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