On the control of the difference between two Brownian motions: an application to energy markets modeling (Q324996)
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scientific article; zbMATH DE number 6639984
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| English | On the control of the difference between two Brownian motions: an application to energy markets modeling |
scientific article; zbMATH DE number 6639984 |
Statements
On the control of the difference between two Brownian motions: an application to energy markets modeling (English)
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17 October 2016
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Brownian motion
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copula
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asymmetry
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coupling
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barrier
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local correlation
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energy markets
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commodities
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risk
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0.8132422566413879
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0.6939577460289001
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0.6908555030822754
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0.6857729554176331
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