130 citations · 289 across the 21 of their papers we have counts for
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Causal interpretation of stochastic differential equations
Alexander Sokol, Niels Richard Hansen
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 Lipsch…
Exponential martingales and changes of measure for counting processes
Alexander Sokol, Niels Richard Hansen
We give sufficient criteria for the Doléans-Dade exponential of a stochastic integral with respect to a counting process local martingale to be a true martingale. The criteria are…
Local alignment of Markov chains
Niels Richard Hansen
We consider local alignments without gaps of two independent Markov chains from a finite alphabet, and we derive sufficient conditions for the number of essentially different local…
The maximum of a random walk reflected at a general barrier
Niels Richard Hansen
We define the reflection of a random walk at a general barrier and derive, in case the increments are light tailed and have negative mean, a necessary and sufficient criterion for…