activity
20132026
most citedWeighted estimation of the dependence function for an extreme-value distribution

5 citations · 5 across the 4 of their papers we have counts for

collaborators
Showing 2019Show all

1 paper · 1 filter

q-fin.MF2019

Common Decomposition of Correlated Brownian Motions and its Financial Applications

Tianyao Chen, Xue Cheng, Jingping Yang

In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are repres…