Causality with finite horizon of the past in continuous time

Abstract

Motivated by Florens etal. (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. © 2012 Elsevier B.V.