On copulas of self-similar Ito processes
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.
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| Autores principales: | , |
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| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
De Gruyter
2021
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/f54820c950d44bd2ae258712494df17c |
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| Sumario: | 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. |
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