STOHASTIČKA PREDVIDIVOST FILTRACIJA I PROCESA PO NEPREKIDNOM PARAMETRU

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STOHASTIČKA PREDVIDIVOST FILTRACIJA I PROCESA PO NEPREKIDNOM PARAMETRU

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dc.contributor.advisor Pilipović, Stevan
dc.contributor.author Merkle, Ana
dc.date.accessioned 2023-06-04T07:50:28Z
dc.date.available 2023-06-04T07:50:28Z
dc.date.issued 2023
dc.identifier.uri http://hdl.handle.net/123456789/5572
dc.description.abstract Many new developments in the filed of probability and statistics focus on finding causal connections between observed processes. This leads to considering dependence relations and investigating how the past influence the present and the future. The well known concept of Granger (1969) causality is closely related to the idea of local dependence introduced by Schweder (1970). Granger studied time series, while Schweder considered Markov chains. The concept was later extended to more general stochastic processes by Mykland (1986). All this concepts incorporate the time into consideration dependence. The dissertation consist of four chapters. New results are presented in the fourth chap- ter. The main aim of this doctoral dissertation is to determine di↵erent concepts of stochastic predictability using the well known tool of conditional independence. Follow Granger’s idea, relationships between family of sigma - algebras (filtrations) and between processes in continuous ti- me were considered since continuous time models dependence represent the first step in various applications, such as in finance, econometric practice, neuroscience, epidemiology, climatology, demographic, etc. In this dissertation the concept of dependence between stochastic processes and filtration is introduced. This concept is named causal predictability since it is focused on prediction. Some major characteristics of the given concept are shown and connections with known concept of dependence are explained. Finally, the concept of causal predictability is applied to the processes of di↵usion type, more precisely, to the uniqueness of weak solutions of Ito stochastic di↵erential equations and stochastic di↵erential equations with driving semi- martingales. Also, the representation theorem in terms of causal predictability is established and numerous examples of applications of the given concept are presented such as application in financial mathematics in the view of modeling default risk, in Bayesian statistics. The idea for the future might be to deal with the case of progressive stochastic predictability, i.e. the generalization of stochastic predictability from fixed time to stopping time. en_US
dc.description.provenance Submitted by Slavisha Milisavljevic (slavisha) on 2023-06-04T07:50:28Z No. of bitstreams: 1 DOKTORAT_finalnaVerzija.pdf: 1785966 bytes, checksum: de307991cfd7cc765d7214a0965a669d (MD5) en
dc.description.provenance Made available in DSpace on 2023-06-04T07:50:28Z (GMT). No. of bitstreams: 1 DOKTORAT_finalnaVerzija.pdf: 1785966 bytes, checksum: de307991cfd7cc765d7214a0965a669d (MD5) Previous issue date: 2023 en
dc.language.iso sr en_US
dc.publisher Beograd en_US
dc.title STOHASTIČKA PREDVIDIVOST FILTRACIJA I PROCESA PO NEPREKIDNOM PARAMETRU en_US
mf.author.birth-date 1995-05-19
mf.author.birth-place Beograd en_US
mf.author.birth-country Srbija en_US
mf.author.residence-state Srbija en_US
mf.author.citizenship Srpsko en_US
mf.author.nationality Srpkinja en_US
mf.subject.area Mathematics en_US
mf.subject.keywords filtration, causal predictability, , stochastic di↵erential equations, weak solution, weak uniqueness, representation theorem en_US
mf.subject.subarea Probability and Statistics en_US
mf.subject.msc 60G07, 60H10, 60H30, 60G44
mf.contributor.committee Jovanović, Miljana
mf.contributor.committee Milošević, Marija
mf.contributor.committee Milošević, Bojana
mf.contributor.committee Glavaš, Lenka
mf.university.faculty Mathematical Faculty en_US
mf.document.references 70 en_US
mf.document.pages 84 en_US
mf.document.location Belgrade en_US
mf.document.genealogy-project No en_US
mf.university Belgrade Univeristy en_US

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