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Lecture Notes in Computer Science: Statistical Causality and Local Solutions of the Stochastic Differential Equations Driven with Semimartingales

  • Ljiljana PetrovićEmail author
  • Dragana Valjarević
Chapter
  • 730 Downloads
Part of the Lecture Notes in Electrical Engineering book series (LNEE, volume 343)

Abstract

The paper considers a statistical concept of causality in continuous time between filtered probability spaces which is based on Granger’s definition of causality. Then, the given causality concept is connected with a local weak solutions of the stochastic differential equations driven with semimartingales. Also, we establish connection between the local solution and the local weak solution.

Keywords

Filtration Causality Local weak solution 

Notes

Acknowledgement

The work is supported by the Serbian Ministry of Science and Technology (Grants 044006 and 179005).

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.Faculty of Economics, Department of Mathematics and StatisticsUniversity of BelgradeBeglradeSerbia
  2. 2.Science Faculty, Department of MathematicsUniversity of Kosovska MitrovicaKosovska MitrovicaSerbia

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