Copulas from the Fokker-Planck equation

DOI10.1016/J.JMAA.2013.05.014zbMath1306.60070OpenAlexW1996318625MaRDI QIDQ2257535

Yong-Ki Ma, Cheonghee Ahn, Hi Jun Choe, Beom Jin Kim

Publication date: 25 February 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.05.014

zbMATH Keywords

copulaFokker-Planck equationinference function for marginsmarginal distribution functionstochastic differential equation with independent drifts and volatilities

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)

Related Items (5)

On Copula-Itô processes ⋮ An effective numerical simulation for solving a class of Fokker–Planck equations using Laguerre wavelet method ⋮ An efficient algorithm based on Haar wavelets for numerical simulation of Fokker-Planck equations with constants and variable coefficients ⋮ Joint survival probability via truncated invariant copula ⋮ On copulas of self-similar Ito processes

Cites Work

• The Pricing of Options and Corporate Liabilities
• An introduction to copulas. Properties and applications
• The t Copula and Related Copulas

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