Study of dependence for some stochastic processes: symbolic Markov copulae

DOI10.1016/J.SPA.2011.11.001zbMATH Open1247.60111OpenAlexW2058106441MaRDI QIDQ765883FDOQ765883

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

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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)

Cites Work

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• Study of Dependence for Some Stochastic Processes
• Characteristic functions and symbols in the theory of Feller processes
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• The symbol of a Markov semimartingale.
• Conservativeness of semigroups generated by pseudo differential operators

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
• Association and other forms of positive dependence for Feller evolution systems
• Study of Dependence for Some Stochastic Processes
• 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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