A Copula Governing Skewed Processes and Application
Asia Pacific Journal of Mathematics · 2024
We study the evolution copula which governs a pair of processes one of which is conditioned by the exceeding of a peak.We start by clarifying the copula that links different values of the process along its evolution and after we make clear how to treat the conditioning to any event that involves extreme values of some regular processes.As a prototype and using classical measures of asymmetry, we focus on the Wiener process and emphasize skewness produced by the conditioning operation.