On the control of the difference between two Brownian motions: an application to energy markets modeling
type: Item
instance of: scholarly article
title: On the control of the difference between two Brownian motions: an application to energy markets modeling
zbMATH Open document ID: 1350.60084
author: Thomas Deschatre
published in: Dependence Modeling
publication date: 2016-10-17T00:00:00Z
full work available at URL: https://arxiv.org/abs/2101.03041
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 62H99
zbMATH DE Number: 6639984
zbMATH Keywords: Brownian motion
zbMATH Keywords: copula
zbMATH Keywords: asymmetry
zbMATH Keywords: coupling
zbMATH Keywords: barrier
zbMATH Keywords: local correlation
zbMATH Keywords: energy markets
zbMATH Keywords: commodities
zbMATH Keywords: risk
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2483015839
arXiv ID: 2101.03041
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DOI: 10.1515/DEMO-2016-0008
description: scientific article