Causality with finite horizon of the past in continuous time
AbstractMotivated 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 82 (2012)
Issue (Month): 7 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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