Coupling of Wiener processes by using copulas

Piotr Jaworski and Marcin Krzywda

Statistics & Probability Letters, 2013, vol. 83, issue 9, 2027-2033

Abstract: We study two-dimensional self-similar Ito diffusions (X,Y) whose margins are Wiener processes. We characterize the copulas of the random pairs (Xt,Yt) for a given t.

Keywords: Copula; Ito diffusion; Stochastic differential equation; Self-similar processes (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2013.05.011

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