On copulas of self-similar Ito processes

Abstract

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.

Keywords

• copula
• ito diffusion
• stochastic differential equations
• self-similar processes
• elliptic partial differential equations
• 62h05
• 60g18
• 60h10
• 60e05
• 60j60