On Copula-Itô processes

DOI10.1515/DEMO-2019-0017MaRDI QIDQ2178947zbMATH OpenOpenAlexFDO

Authors Piotr Jaworski

Publication date 12 May 2020

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2019-0017

zbMATH Keywords

copula processescopulasparabolic partial differential equationssemigroups of transformationsstochastic differential equations

Mathematics Subject Classification ID

Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Semigroups of nonlinear operators (47H20) Groups and semigroups of nonlinear operators (58D07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

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Cited in

(4)

• Copula fields and their applications
• On copulas of self-similar Ito processes
• Coupling of Wiener processes by using copulas
• Copulæ of processes related to the Brownian motion: a brief survey

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