Granger causality and stopping times

DOI10.1007/S10986-016-9325-0zbMath1347.60046OpenAlexW2478518475MaRDI QIDQ317155

Dragana Valjarević, Ljiljana Petrović, Sladjana Dimitrijević

Publication date: 30 September 2016

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-016-9325-0

zbMATH Keywords

filtrationcausalitystopping timesmartingale property

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

Related Items (4)

Statistical causality, optional and predictable projections ⋮ Causality between stopped filtrations and some applications ⋮ Unnamed Item ⋮ Statistical causality and local uniqueness for solutions of the martingale problem

Cites Work

• Granger causality and the sampling of economic processes
• Invariance of statistical causality under convergence
• Causality and Markovian representations
• Changes of filtrations and of probability measures
• Causality and Stochastic Dynamic Systems
• The General Equivalence of Granger and Sims Causality
• A Note on Noncausality
• Noncausality in Continuous Time
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