Causal predictability between stochastic processes and filtrations

DOI10.1080/17442508.2023.2214265OpenAlexW4378651987MaRDI QIDQ6189980

Ana Merkle

Publication date: 5 February 2024

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2023.2214265

zbMATH Keywords

representation theoremfiltrationstochastic differential equationsdefault riskcausal predictabilityweak uniqueness of weak solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

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• On extremal solutions of martingale problems
• A Note on Noncausality
• Noncausality in Continuous Time
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Stochastic differential equations. An introduction with applications.

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