Coupling of Wiener processes by using copulas

Tytuł:
Coupling of Wiener processes by using copulas
Czasopismo:
Statistics and Probability Letters
Rok:
2013

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

Strony:
2027-2033

Tom (seria wydawnicza):
83(9)

Numer DOI:
10.1016/j.spl.2013.05.011

Link:
http://www.sciencedirect.com/science/article/pii/S0167715213001727