Statistical causality and orthogonality of local martingales

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• 作者：Dragana Valjarevi膰^a ; ^{dragana_stan@yahoo.com} ; Ljiljana Petrovi膰^b ; ^{petrovl@ekof.bg.ac.rs}
• 关键词：60G44 ; 60H10 ; 62P20 ; 60H07
• 刊名：Statistics and Probability Letters
• 出版年：2012
• 期刊代码：56_01677152
• 类别：mt
• 出版时间：July, 2012
• 卷：82
• 期：7
• 页码：1326-1330
• 文件大小：208 K

摘要

In this work we consider the concept of statistical causality between filtrations, and in particular a generalization of the causality relationship 鈥?strong class="boldFont">G is a cause of J within H鈥? Then we apply this concept to strongly orthogonal martingales. We show the equivalence between the concepts of causality and orthogonality of local martingales. The orthogonality of martingales is a property which can be associated with the theory of option trading.