Statistical causality and local uniqueness for solutions of the martingale problem
Petrović, Ljiljana • Valjarević, Dragana
Abstract
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.
Abstract
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.