eng application/pdf 264146 bytes All rights reserved Petrović, Ljiljana Valjarević, Dragana 2018 Filomat 32(8) Statistical Causality and Local Uniqueness for Solutions of the Martingale Problem info:eu-repo/semantics/article https://phaidrabg.bg.ac.rs/o:28983 doi:10.2298/FIL1808851P ISSN: 2406-0933 Keywords. Filtration, causality, stochastic differential equation, local uniqueness, stopped martingale problem. Abstract: In this paper we consider the concept of statistical causality between filtrations associated with stopping times, which is based on Granger’s definition of causality. Especially, we consider a generalization of a causality relationship ”G is a cause of E within H” from fixed to stopping time. Then we apply the given causality concept to local uniqueness for the solution of the martingale problem. Also, we give some applications in finance.