Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
Author:
Affiliation:
1. Technische Universität Dresden, Institute of Mathematical Stochastics, 01062 Dresden, Germany
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Subject
Statistics and Probability
Reference36 articles.
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3. Barndorff-Nielsen, O.E. and Shephard, N. (2001). Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. J. R. Stat. Soc. Ser. B. Stat. Methodol. 63 167–241.
4. Behme, A., Lindner, A. and Maller, R. (2011). Stationary solutions of the stochastic differential equation dVt=Vt−dUt+dLt with Lévy noise. Stochastic Process. Appl. 121 91–108.
5. Behme, A., Lindner, A., Reker, J. and Rivero, V. (2021). Continuity properties and the support of killed exponential functionals. Stochastic Process. Appl. 140 115–146.
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