Evolution of bivariate copulas in discrete processes

DOI10.14495/JSIAML.3.77MaRDI QIDQ2843190zbMATH OpenOpenAlexFDO

Authors Yasukazu Yoshizawa, Naoyuki Ishimura

Publication date 9 August 2013

Published in JSIAM Letters (Search for Journal in Brave)

Full work available at URL https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=3_0_77&screenID=AF06S010&noVol=3&noIssue=0

zbMATH Keywords

convergencecopuladiscrete processesfinite difference modelheat equationmultivariate random eventsnonlinear dependencenumerical experimentsrisk management

Mathematics Subject Classification ID

Heat equation (35K05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(5)

• On Copula-Itô processes
• On the evolution of copulas
• Copulas related to Manneville-Pomeau processes
• Evolution of copulas in discrete processes with application to a numerical modeling of dependence relation between exchange rates
• Infinite families of bipartite integral graphs with few distinct eigenvalues

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