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Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process

Bankovsky, Damien; Sly, Allan

Description

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 define necessary and sufficient conditions under which the infini

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
URI: http://hdl.handle.net/1885/37414
Source: Stochastic Processes and their Applications
DOI: 10.1016/j.spa.2009.01.001

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