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

Damien Bankovsky

For a bivariate \Levy process $({\xi }_t,{\eta }_t{)}_{t\ge 0}$ the generalised Ornstein-Uhlenbeck (GOU) process is defined as \[V_t:=e^{ξ_t}(z+\int_0^t e^{-ξ_{s-}}\ud η_s), t\ge0,\]where $z\i…