Predictability and uniqueness of weak solutions of the stochastic differential equations
Causality is a topic which receives much attention nowadays and it represents a prediction property in the context of possible reduction of available information in order to predict a given filtration. In this paper we define the concept of dependence between stochastic processes and between filtrat...
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| Format: | Article |
| Language: | English |
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Sciendo
2023-01-01
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| Series: | Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica |
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| Online Access: | https://doi.org/10.2478/auom-2023-0011 |
| Summary: | Causality is a topic which receives much attention nowadays and it represents a prediction property in the context of possible reduction of available information in order to predict a given filtration. In this paper we define the concept of dependence between stochastic processes and between filtrations, named causal predictability, which is based on the Granger’s definition of causality. This definition extends the ones already given in the continuous time. Then, we provide some properties of the given concept. |
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| ISSN: | 1844-0835 |