On copulas of self-similar Ito processes

DOI10.1515/demo-2021-0112zbMath1476.62094OpenAlexW3207385445MaRDI QIDQ2063748

Piotr Jaworski, Marcin Krzywda

Publication date: 3 January 2022

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2021-0112

zbMATH Keywords

copulastochastic differential equationselliptic partial differential equationsself-similar processesIto diffusion

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Self-similar stochastic processes (60G18)

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