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On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramer case

Bankovsky, Damien; Klüppelberg, Claudia; Maller, Ross


For a bivariate Lévy process (ξt,η≥0 and initial value V0, define the generalised Ornstein-Uhlenbeck (GOU) process Vt, := eξt(V0 + ∫t 0e-ξs-dξ st≥0, and the associated stochastic integral process Zt := ∫t 0 e-ξs t≥ 0. Let Tz := inf {t >

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Journal of Applied Probability


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