论文标题
一类与布朗运动过程及其最大值相关的copulae
A class of copulae associated with Brownian motion processes and their maxima
论文作者
论文摘要
本文的主要目的是由与某些布朗运动过程有关的各种联合分布创建新的Copulae。我们将注意力集中在具有漂移参数及其最大值的单变量布朗尼动作的分布上，并通过考虑其中一个的最大值，并将其放在相关的双变量布朗尼运动上。从其中生成的副群及其相关的密度函数被明确给出并以图形方式表示。
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.
