Causal predictability and weak solutions of the stochastic differential equations with driving semimartingales

Ana Merkle

Statistics & Probability Letters, 2023, vol. 197, issue C

Abstract: We consider causal relationships between σ-fields (filtrations) in continuous time and define the concept of dependence between filtrations, named causal predictability, which is based on the Granger’s definition of causality. The concept of causality is analyzed using the tool of conditional independence. Then, we provide some properties of the given predictability concept.

Keywords: Filtration; Causal predictability; Stochastic differential equations; Weak solution; Weak uniqueness (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2023.109816

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