On copulas of self-similar Ito processes

Jaworski Piotr () and Krzywda Marcin ()
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Jaworski Piotr: Institute of Mathematics, University of Warsaw, Warszawa, Poland
Krzywda Marcin: Institute of Mathematics, Jagiellonian University, Kraków, Poland

Dependence Modeling, 2021, vol. 9, issue 1, 243-266

Abstract: We characterize the cumulative distribution functions and copulas of two-dimensional self-similar Ito processes, with randomly correlated Wiener margins, as solutions of certain elliptic partial differential equations.

Keywords: copula; Ito diffusion; stochastic differential equations; self-similar processes; elliptic partial differential equations (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:9:y:2021:i:1:p:243-266:n:1

DOI: 10.1515/demo-2021-0112

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