Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales

DOI10.1007/s10852-009-9121-5zbMath1229.60055OpenAlexW2074242862MaRDI QIDQ655181

Ljiljana Petrović, Dragana Stanojević

Publication date: 2 January 2012

Published in: JMMA. Journal of Mathematical Modelling and Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10852-009-9121-5

zbMATH Keywords

stochastic differential equationweak solutionfiltrationcausalitymartingale problemweak uniquenesssemimartingaleextremal measure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Related Items (14)

STATISTICAL CAUSALITY AND MARTINGALE REPRESENTATION PROPERTY WITH APPLICATION TO STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Statistical causality, martingale problems and local uniqueness ⋮ Statistical causality and purely discontinuous local martingales ⋮ Statistical causality, optional and predictable projections ⋮ Causality with finite horizon of the past in continuous time ⋮ Statistical causality and orthogonality of local martingales ⋮ Statistical causality and separable processes ⋮ Causality between stopped filtrations and some applications ⋮ Statistical causality and measurable separability of \(\sigma \)-algebras ⋮ Invariance of statistical causality under convergence ⋮ Unnamed Item ⋮ STATISTICAL CAUSALITY AND STABLE SUBSPACES OF ⋮ Statistical causality and adapted distribution ⋮ Statistical causality and local uniqueness for solutions of the martingale problem

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