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On copulas of self-similar Ito processes

Author

Listed:
  • Jaworski Piotr

    (Institute of Mathematics, University of Warsaw, Warszawa, Poland)

  • Krzywda Marcin

    (Institute of Mathematics, Jagiellonian University, Kraków, Poland)

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.

Suggested Citation

  • Jaworski Piotr & Krzywda Marcin, 2021. "On copulas of self-similar Ito processes," Dependence Modeling, De Gruyter, vol. 9(1), pages 243-266, January.
    • Handle: RePEc:vrs:demode:v:9:y:2021:i:1:p:243-266:n:1
    DOI: 10.1515/demo-2021-0112
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    References listed on IDEAS

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    1. Jaworski, Piotr & Krzywda, Marcin, 2013. "Coupling of Wiener processes by using copulas," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2027-2033.
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