Filomat 2018 Volume 32, Issue 8, Pages: 2851-2860
https://doi.org/10.2298/FIL1808851P
Full text ( 257 KB)
Statistical causality and local uniqueness for solutions of the martingale problem
Petrović Ljiljana
Valjarević Dragana
In this paper we consider the concept of statistical causality between
filtrations associated with stopping times, which is based on Granger’s
definition of causality. Especially, we consider a generalization of a
causality relationship ”G is a cause of E within H” from fixed to stopping
time. Then we apply the given causality concept to local uniqueness for the
solution of the martingale problem. Also, we give some applications in
finance.
Keywords: Filtration, causality, stochastic differential equation, local uniqueness, stopped martingale problem