On Copula-Itô processes
Work
Year: 2019
Type: article
Abstract: We study the dynamics of the family of copulas { C t } t ≥0 of a pair of stochastic processes given by stochastic differential equations (SDE). We associate to it a parabolic partial differential equ... more
Source: Dependence Modeling
Author Piotr Jaworski
Institutions University of Warsaw, Institute of Mathematics
Cites: 27
Cited by: 1
Related to: 10
FWCI: 0.261
Citation percentile (by year/subfield): 50.49
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,078