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

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Date

2009

Authors

Bankovsky, Damien
Sly, Allan

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

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

Description

Keywords

Citation

URI

http://hdl.handle.net/1885/37414

Collections

Open Access Research

Source

Stochastic Processes and their Applications

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1016/j.spa.2009.01.001

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