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

Damien Bankovsky, Allan Sly

For a bivariate Lévy 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-}}dη_s), t\ge0, where $z\in\mathb…