Statistical Causality, Extremal Measures and Weak Solutions of Stochastic Differential Equations with Driving Semimartingales

In this paper we consider different concepts of causality in filtered probability spaces. Especially, we consider a generalization of a causality relationship “G is a cause of J within H ” which was first given by Mykland (1986) and which is based on Granger’s definition of causality (Granger, Econometrica 37:424–438, 1969). Then we apply this concept on weak solutions of stochastic differential equations with driving semimartingales. We also show that the given causality concept is closely connected to the concept of extremality of measures and links Granger’s causality with the concept of adapted distribution. Finally, the concept of causality is applied on solution of martingale problem.