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dc.contributor.authorPetrović, Ljiljana
dc.contributor.authorValjarević, Dragana
dc.date.accessioned2023-04-24T07:06:29Z
dc.date.available2023-04-24T07:06:29Z
dc.date.issued2018-10-21
dc.identifier.citation174024en_US
dc.identifier.urihttps://platon.pr.ac.rs/handle/123456789/1252
dc.description.abstractIn this paper we consider the concept of statistical causality in continuous time between ows of information, represented by ltra- tions. Then we relate the given concept of causality to the equivalent change of measure that plays an important role in mathematical nance. We give necessary and sucient conditions, in terms of statistical causali- ty, 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.en_US
dc.titleStatistical causality and extremal measuresen_US
dc.title.alternativeBulletin of Korean Mathematical Societyen_US
dc.typeclanak-u-casopisuen_US
dc.description.versionpublishedVersionen_US
dc.identifier.doihttps://doi.org/10.4134/BKMS.b170151
dc.citation.volume55
dc.citation.issue2
dc.citation.spage561
dc.citation.epage572
dc.type.mCategoryM23en_US
dc.type.mCategoryopenAccessen_US
dc.type.mCategoryM23en_US
dc.type.mCategoryopenAccessen_US


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