Skip navigation
Skip navigation

Conditions for certain ruin for the generalised Ornstein-Uhlenbeck process and the structure of the upper and lower bounds

Bankovsky, Damien


For a bivariate Lévy process (ξt, ηt)t ≥ 0 the generalised Ornstein-Uhlenbeck (GOU) process is defined as Vt {colon equals} eξt (z + ∫0t e- ξs - d ηs), t ≥ 0, where z ∈ R. We present conditions on the characteristic triplet of (ξ, η) whic

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
Source: Stochastic Processes and their Applications
DOI: 10.1016/


File Description SizeFormat Image
01_Bankovsky_Conditions_for_certain_ruin_2010.pdf1.18 MBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  20 July 2017/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator