Copula fields and their applications (Q1917590)
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scientific article; zbMATH DE number 897696
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Copula fields and their applications |
scientific article; zbMATH DE number 897696 |
Statements
Copula fields and their applications (English)
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17 November 1996
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The construction of stochastic processes from a family of nonconsistent probability measures can not always be done. The author shows how to construct stochastic processes whose one-dimensional marginal distributions are the same as those of a given family of Borel probability measures on \(R^d\). The point is that he applies the idea of copula to stochastic processes. The application to Markovian stochastic control is also given.
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copula fields
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marginal problem
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nonconsistent probability measures
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Markovian stochastic control
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