Study of dependence for some stochastic processes: symbolic Markov copulae

DOI10.1016/J.SPA.2011.11.001MaRDI QIDQ765883zbMATH OpenOpenAlexFDO

Authors Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski

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

zbMATH Keywords

dependencepseudo-differential operatorMarkov processFeller processsymbolMarkov consistencyMarkov copulaemarginal laws

Mathematics Subject Classification ID

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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• Characteristic functions and symbols in the theory of Feller processes
• Conservativeness of semigroups generated by pseudo differential operators
• Copulas and Markov processes
• Copulas for Markovian dependence
• Diffusion processes associated with L�vy generators
• Growth and Hölder conditions for the sample paths of Feller processes
• Study of Dependence for Some Stochastic Processes
• The symbol of a Markov semimartingale.

Cited in

(9)

• A Markov product for tail dependence functions
• 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
• Study of Dependence for Some Stochastic Processes
• Association and other forms of positive dependence for Feller evolution systems
• Tensor approximation of generalized correlated diffusions and functional copula operators
• The use of generation stochastic models to study an epidemic disease
• Conditional Markov chains: properties, construction and structured dependence

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