3 papers
math.PR2011
On the Ruin Probability of the Generalised Ornstein-Uhlenbeck Process in the Cramér Case
Damien Bankowski, Claudia Klüppelberg, Ross Maller
For a bivariate \Levy process and initial value define the Generalised Ornstein-Uhlenbeck (GOU) process \[ V_t:=e^{ξ_t}\Big(V_0+\int_0^t e^{-ξ_{s-}}\ud η…
math.PR2009
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 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…
math.PR2008
Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process
Damien Bankovsky, Allan Sly
For a bivariate Lévy process the generalised Ornstein-Uhlenbeck (GOU) process is defined as V_t:=e^{ξ_t}(z+\int_0^t e^{-ξ_{s-}}dη_s), t\ge0, where $z\in\mathb…