Study of dependence for some stochastic processes: symbolic Markov copulae
DOI10.1016/J.SPA.2011.11.001zbMATH Open1247.60111OpenAlexW2058106441MaRDI QIDQ765883FDOQ765883
Tomasz R. Bielecki, Mariusz Niewęgłowski, Jacek Jakubowski
Publication date: 22 March 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2011.11.001
dependencepseudo-differential operatorMarkov processFeller processsymbolMarkov consistencyMarkov copulaemarginal laws
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on general state spaces (60J25) Pseudodifferential operators as generalizations of partial differential operators (35S05)
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- Copulas and Markov processes
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Cited In (5)
- Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
- The Markov consistency of Archimedean survival processes
- Inhomogeneous time change equations for Markov chains and their applications
- The use of generation stochastic models to study an epidemic disease
- Conditional Markov chains: properties, construction and structured dependence
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