On Copula-Itô processes

DOI10.1515/DEMO-2019-0017zbMATH Open1439.62132OpenAlexW2985020565MaRDI QIDQ2178947FDOQ2178947

Authors: Piotr Jaworski 

Publication date: 12 May 2020

Published in: Dependence Modeling (Search for Journal in Brave)

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

Recommendations

• Copula fields and their applications
• Copulas from the Fokker-Planck equation
• On the characterization of copulas by differential equations
• Copulæ of processes related to the Brownian motion: a brief survey
• Evolution of bivariate copulas in discrete processes

zbMATH Keywords

copulasstochastic differential equationsparabolic partial differential equationssemigroups of transformationscopula processes

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Diffusion processes (60J60) 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)

Cites Work

• Dependence modeling with copulas
• On a strong metric on the space of copulas and its induced dependence measure
• Title not available (Why is that?)
• Principles of copula theory
• An introduction to copulas.
• Copulas and Markov processes
• Title not available (Why is that?)
• Stochastic differential equations. An introduction with applications.
• Heavy-Tail Phenomena
• Elliptic partial differential equations of second order
• Functional analysis, Sobolev spaces and partial differential equations
• Title not available (Why is that?)
• Sobolev Spaces
• Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson
• Title not available (Why is that?)
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• On the Uniqueness in Law and the Pathwise Uniqueness for Stochastic Differential Equations
• Copulae in mathematical and quantitative finance. Proceedings of the workshop, Cracow, Poland, July 10--11, 2012
• Theory and applications of stochastic processes. An analytical approach
• Diffusion processes and stochastic calculus
• Coupling of Wiener processes by using copulas
• A copula-based method to build diffusion models with prescribed marginal and serial dependence
• Copulas from the Fokker-Planck equation
• Copulæ of processes related to the Brownian motion: a brief survey

Cited In (3)

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

This page was built for publication: On Copula-Itô processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2178947)