A class of copulae associated with Brownian motion processes and their maxima

Marie-Claude Vachon; Matthieu Dufour; Michel Ad\`es; Serge B. Provost

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A class of copulae associated with Brownian motion processes and their maxima

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arxiv 2004.10243 v1 pith:CW4P4YB4 submitted 2020-04-21 math.ST stat.TH

Michel Adès , Matthieu Dufour , Serge B. Provost , Marie-Claude Vachon This is my paper · ORCID

classification math.STstat.TH

keywords browniancopulaeassociatedclassdistributionsmaximamotionmotions

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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.

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