The copulae of a few stochastic processes related to the Brownian motion are derived; specifically, if $(X_t)$ is one such process, the copula of the pair $(X_s,X_t)$ is determined for $s<t$.
Copulae of processes related to the Brownian motion: a brief survey
SEMPI, Carlo
2016-01-01
Abstract
The copulae of a few stochastic processes related to the Brownian motion are derived; specifically, if $(X_t)$ is one such process, the copula of the pair $(X_s,X_t)$ is determined for $sFile in questo prodotto:
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