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BY 4.0 license Open Access Published by De Gruyter Open Access October 11, 2021

On copulas of self-similar Ito processes

  • Piotr Jaworski ORCID logo EMAIL logo and Marcin Krzywda
From the journal Dependence Modeling


We characterize the cumulative distribution functions and copulas of two-dimensional self-similar Ito processes, with randomly correlated Wiener margins, as solutions of certain elliptic partial differential equations.

MSC 2010: 62H05; 60G18; 60H10; 60E05; 60J60


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Received: 2021-02-13
Accepted: 2021-05-11
Published Online: 2021-10-11

© 2021 Piotr Jaworski et al., published by De Gruyter

This work is licensed under the Creative Commons Attribution 4.0 International License.

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