Coupling of Wiener processes by using copulas

DOI10.1016/J.SPL.2013.05.011zbMath1383.60034OpenAlexW2091433126MaRDI QIDQ2637369

Marcin Krzywda, Piotr Jaworski

Publication date: 11 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.05.011

zbMATH Keywords

copulastochastic differential equationself-similar processesIto diffusion

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Self-similar stochastic processes (60G18)

Related Items (4)

On the control of the difference between two Brownian motions: a dynamic copula approach ⋮ On the control of the difference between two Brownian motions: an application to energy markets modeling ⋮ On Copula-Itô processes ⋮ On copulas of self-similar Ito processes

Cites Work

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• Theory and applications of stochastic processes. An analytical approach
• On a subjective approach to risk measurement
• Absolutely Continuous Copulas with Given Diagonal Sections
• Stochastic differential equations. An introduction with applications.

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