Causality with finite horizon of the past in continuous time

Ljiljana Petrović and Sladjana Dimitrijević

Statistics & Probability Letters, 2012, vol. 82, issue 7, 1219-1223

Abstract: Motivated by Florens et al. (1993) and recent studies of stochastic systems with memory, we suggest the new concept of causality for continuous time stochastic processes which deal with finite horizon of the past. Also, we present results which show connections between the given concept of causality and marginalization of continuous time Markov processes.

Keywords: Causality; Stochastic process; Filtration; Conditional independence (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.03.032

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