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:	Jaworski Piotr, Krzywda Marcin
Formato:	article
Lenguaje:	EN
Publicado:	De Gruyter 2021
Materias:	copula ito diffusion stochastic differential equations self-similar processes elliptic partial differential equations 62h05 60g18 60h10 60e05 60j60 Science (General) Q1-390 Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/f54820c950d44bd2ae258712494df17c
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spelling	oai:doaj.org-article:f54820c950d44bd2ae258712494df17c2021-12-05T14:10:46ZOn copulas of self-similar Ito processes2300-229810.1515/demo-2021-0112https://doaj.org/article/f54820c950d44bd2ae258712494df17c2021-10-01T00:00:00Zhttps://doi.org/10.1515/demo-2021-0112https://doaj.org/toc/2300-2298We 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.Jaworski PiotrKrzywda MarcinDe Gruyterarticlecopulaito diffusionstochastic differential equationsself-similar processeselliptic partial differential equations62h0560g1860h1060e0560j60Science (General)Q1-390MathematicsQA1-939ENDependence Modeling, Vol 9, Iss 1, Pp 243-266 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	copula ito diffusion stochastic differential equations self-similar processes elliptic partial differential equations 62h05 60g18 60h10 60e05 60j60 Science (General) Q1-390 Mathematics QA1-939
spellingShingle	copula ito diffusion stochastic differential equations self-similar processes elliptic partial differential equations 62h05 60g18 60h10 60e05 60j60 Science (General) Q1-390 Mathematics QA1-939 Jaworski Piotr Krzywda Marcin On copulas of self-similar Ito processes
description	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.
format	article
author	Jaworski Piotr Krzywda Marcin
author_facet	Jaworski Piotr Krzywda Marcin
author_sort	Jaworski Piotr
title	On copulas of self-similar Ito processes
title_short	On copulas of self-similar Ito processes
title_full	On copulas of self-similar Ito processes
title_fullStr	On copulas of self-similar Ito processes
title_full_unstemmed	On copulas of self-similar Ito processes
title_sort	on copulas of self-similar ito processes
publisher	De Gruyter
publishDate	2021
url	https://doaj.org/article/f54820c950d44bd2ae258712494df17c
work_keys_str_mv	AT jaworskipiotr oncopulasofselfsimilaritoprocesses AT krzywdamarcin oncopulasofselfsimilaritoprocesses
_version_	1718371755132715008

On copulas of self-similar Ito processes

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