Coupling of Wiener processes by using copulas

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.

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Year of publication:	2013
Authors:	Jaworski, Piotr ; Krzywda, Marcin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 9, p. 2027-2033
Publisher:	Elsevier
Subject:	Copula \| Ito diffusion \| Stochastic differential equation \| Self-similar processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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