On copulas of self-similar Ito processes-Reference-Cited by-同舟云学术

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On copulas of self-similar Ito processes

Published:2021-01-01 Issue:1 Volume:9 Page:243-266
ISSN:2300-2298
Container-title:Dependence Modeling
language:en
Short-container-title:

Author:

Jaworski Piotr¹^ORCID,Krzywda Marcin²

Affiliation:

1. Institute of Mathematics , University of Warsaw , Warszawa , Poland

2. Institute of Mathematics , Jagiellonian University , Kraków , Poland

Abstract

Abstract We characterize the cumulative distribution functions and copulas of two-dimensional self-similar Ito processes, with randomly correlated Wiener margins, as solutions of certain elliptic partial differential equations.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/demo-2021-0112/pdf

Reference33 articles.

1. [1] Baudoin, F. (2014). Diffusion Processes and Stochastic Calculus. European Mathematical Society, Zürich.

2. [2] Bernardi M., F. Durante and P. Jaworski (2017). CoVaR of families of copulas. Statist. Probab. Lett. 120, 8–17.

3. [3] Billingsley, P. (1979). Probability and Measure. Wiley, Chichester.

4. [4] Brezis, H. (2011). Functional Analysis, Sobolev Spaces and Partial Differential Equations. Springer, New York.

5. [5] Cherny, A. S. (2002). On the uniqueness in law and the pathwise uniqueness for stochastic differential equations. Theory Probab. Appl. 46(3), 406–419.

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