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Coupling of Wiener processes by using copulas

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  • Jaworski, Piotr
  • Krzywda, Marcin

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.

Suggested Citation

  • Jaworski, Piotr & Krzywda, Marcin, 2013. "Coupling of Wiener processes by using copulas," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2027-2033.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:9:p:2027-2033
    DOI: 10.1016/j.spl.2013.05.011
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    References listed on IDEAS

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    1. Piotr Jaworski, 2006. "On a subjective approach to risk measurement," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 495-511.
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    Cited by:

    1. Jaworski Piotr, 2019. "On Copula-Itô processes," Dependence Modeling, De Gruyter, vol. 7(1), pages 322-347, January.
    2. Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org, revised Nov 2020.
    3. Jaworski Piotr & Krzywda Marcin, 2021. "On copulas of self-similar Ito processes," Dependence Modeling, De Gruyter, vol. 9(1), pages 243-266, January.

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