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

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

2009-01-02

arxiv.org/abs/0901.0207v1

Mathematics

Probability

Scientific paper

For a bivariate \Levy process $(\xi_t,\eta_t)_{t\geq 0}$ the generalised Ornstein-Uhlenbeck (GOU) process is defined as \[V_t:=e^{\xi_t}(z+\int_0^t e^{-\xi_{s-}}\ud \eta_s), t\ge0,\]where $z\in\mathbb{R}.$ We present conditions on the characteristic triplet of $(\xi,\eta)$ which ensure certain ruin for the GOU. We present a detailed analysis on the structure of the upper and lower bounds and the sets of values on which the GOU is almost surely increasing, or decreasing. This paper is the sequel to \cite{BankovskySly08}, which stated conditions for zero probability of ruin, and completes a significant aspect of the study of the GOU.

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