For a bivariate Lévy process (ξt, ηt)t ≥ 0 the generalised Ornstein-Uhlenbeck (GOU) process is defined as Vt {colon equals} eξt (z + ∫0t e- ξs - d ηs), t ≥ 0, where z ∈ R. We present conditions on the characteristic triplet of (ξ, η) whi
Three expressions are provided for the first hitting time density of an Ornstein-Uhlenbeck process t...
Ornstein-Uhlenbeck (OU) Process Let (Lt, t ≥ 0) be a Lévy process on (Ω,F, (Ft),P). For every a ∈ R ...
Abstract. The Laplace transform of the first exit time from a finite interval by a spectrally negati...
AbstractFor a bivariate Lévy process (ξt,ηt)t≥0 the generalised Ornstein–Uhlenbeck (GOU) process is ...
For a bivariate Lévy process (ξt, ηt)t ≥ 0 the generalised Ornstein-Uhlenbeck (GOU) process is defin...
For a bivariate Lévy process (ξt,η≥0 and initial value V0, define the generalised Ornstein-Uhlenbeck...
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process (ξt, ηt) t≥0 is...
AbstractThe generalised Ornstein–Uhlenbeck process constructed from a bivariate Lévy process (ξt,ηt)...
Ornstein-Uhlenbeck (OU) Process Let (Lt, t ≥ 0) be a Lévy process on (Ω,F, (Ft),P). For every a ∈ R ...
This thesis is concerned with the study of Generalized Ornstein-Uhlenbeck(GOU) processes and their a...
We investigate ergodic properties of the solution of the SDE $dV_t=V_{t-}dU_t+dL_t$, where $(U,L)$ i...
Abstract. Let X be a n-dimensional Ornstein-Uhlenbeck process, solution of the S.D.E. dXt = AXt dt +...
We consider the α-stable Ornstein-Uhlenbeck process in Rd with the generator L = ∆α/2 − λx · ∇x. We ...
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process ([xi]t,[eta]t)t...
International audienceWe study the asymptotic of the ruin probability for a process which is the sol...
Three expressions are provided for the first hitting time density of an Ornstein-Uhlenbeck process t...
Ornstein-Uhlenbeck (OU) Process Let (Lt, t ≥ 0) be a Lévy process on (Ω,F, (Ft),P). For every a ∈ R ...
Abstract. The Laplace transform of the first exit time from a finite interval by a spectrally negati...
AbstractFor a bivariate Lévy process (ξt,ηt)t≥0 the generalised Ornstein–Uhlenbeck (GOU) process is ...
For a bivariate Lévy process (ξt, ηt)t ≥ 0 the generalised Ornstein-Uhlenbeck (GOU) process is defin...
For a bivariate Lévy process (ξt,η≥0 and initial value V0, define the generalised Ornstein-Uhlenbeck...
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process (ξt, ηt) t≥0 is...
AbstractThe generalised Ornstein–Uhlenbeck process constructed from a bivariate Lévy process (ξt,ηt)...
Ornstein-Uhlenbeck (OU) Process Let (Lt, t ≥ 0) be a Lévy process on (Ω,F, (Ft),P). For every a ∈ R ...
This thesis is concerned with the study of Generalized Ornstein-Uhlenbeck(GOU) processes and their a...
We investigate ergodic properties of the solution of the SDE $dV_t=V_{t-}dU_t+dL_t$, where $(U,L)$ i...
Abstract. Let X be a n-dimensional Ornstein-Uhlenbeck process, solution of the S.D.E. dXt = AXt dt +...
We consider the α-stable Ornstein-Uhlenbeck process in Rd with the generator L = ∆α/2 − λx · ∇x. We ...
The generalised Ornstein-Uhlenbeck process constructed from a bivariate Lévy process ([xi]t,[eta]t)t...
International audienceWe study the asymptotic of the ruin probability for a process which is the sol...
Three expressions are provided for the first hitting time density of an Ornstein-Uhlenbeck process t...
Ornstein-Uhlenbeck (OU) Process Let (Lt, t ≥ 0) be a Lévy process on (Ω,F, (Ft),P). For every a ∈ R ...
Abstract. The Laplace transform of the first exit time from a finite interval by a spectrally negati...
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