A copula-based method to build diffusion models with prescribed marginal and serial dependence
This paper investigates the probabilistic properties that determine the existence of space-
time transformations between diffusion processes. We prove that two diffusions are related …
time transformations between diffusion processes. We prove that two diffusions are related …
[PDF][PDF] SPACE-TIME TRANSFORMATIONS AND COPULAE FOR DIF-FUSION PROCESSES
E BIBBONA, L SACERDOTE - arXiv preprint arXiv:1509.02319, 2015 - researchgate.net
This paper investigates the probabilistic properties that determine the existence of space-
time transformations relating different diffusion processes. We prove that two diffusions are …
time transformations relating different diffusion processes. We prove that two diffusions are …