On copulas of self-similar Ito processes
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Publication:2063748
DOI10.1515/demo-2021-0112zbMath1476.62094OpenAlexW3207385445MaRDI QIDQ2063748
Piotr Jaworski, Marcin Krzywda
Publication date: 3 January 2022
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2021-0112
copulastochastic differential equationselliptic partial differential equationsself-similar processesIto diffusion
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Self-similar stochastic processes (60G18)
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