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A class of copulae associated with Brownian motion processes and their maxima
- Publication Year :
- 2020
-
Abstract
- The main objective of this paper consists in creating a new class of copulae from various joint distributions occurring in connection with certain Brownian motion processes. We focus our attention on the distributions of univariate Brownian motions having a drift parameter and their maxima and on correlated bivariate Brownian motions by considering the maximum value of one of them. The copulae generated therefrom and their associated density functions are explicitly given as well as graphically represented.<br />Comment: 25 pages, 3 figures
- Subjects :
- Mathematics - Statistics Theory
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2004.10243
- Document Type :
- Working Paper