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Causal interpretation of stochastic differential equations

   
@article{EJP2891,
	author = {Niels Hansen and Alexander Sokol},
	title = {Causal interpretation of stochastic differential equations},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {19},
	year = {2014},
	keywords = {Stochastic diferential equation; Causality; Structural equation model; Identifiability; Levy process; Weak conditional local independence},
	abstract = {We give a causal interpretation of stochastic differential equations (SDEs) by defining the postintervention SDE resulting from an intervention in an SDE. We show that under Lipschitz conditions, the solution to the postintervention SDE is equal to a uniform limit in probability of postintervention structural equation models based on the Euler scheme of the original SDE, thus relating our definition to mainstream causal concepts. We prove that when the driving noise in the SDE is a Lévy process, the postintervention distribution is identifiable from the generator of the SDE.},
	pages = {no. 100, 1-24},
	issn = {1083-6489},
	doi = {10.1214/EJP.v19-2891},    
        url = {http://ejp.ejpecp.org/article/view/2891}}