On the ruin probability of the generalised Ornstein–Uhlenbeck process in the cramér case

DOI10.1239/jap/1318940452zbMath1238.60079arXiv1101.1034OpenAlexW2014992520MaRDI QIDQ3094470

Damien Bankovsky, Claudia Klüppelberg, Ross A. Maller

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.1034

zbMATH Keywords

ruin probabilitystochastic recurrence equationgeneralised Ornstein-Uhlenbeck processbivariate Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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