Causality between stopped filtrations and some applications

DOI10.3103/S1068362321030080zbMath1469.60130OpenAlexW3199551214MaRDI QIDQ1982657

Ljiljana Petrović, Dragana Valjarević

Publication date: 14 September 2021

Published in: Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1068362321030080

zbMATH Keywords

filtrationcausalitystopped local martingalesstopped orthogonal martingales

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

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• Credit risk: Modelling, valuation and hedging
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