A note on first passage probabilities of a Lévy process reflected at a general barrier

  1. Zbigniew Palmowski
  2. Przemysław Świątek

Abstract

 

A NOTE ON FIRST PASSAGE PROBABILITIES OF A LÉVY PROCESS REFLECTED AT A GENERAL BARRIER

In this paper we analyze a Lévy process reflected at a general (possibly random) barrier. For this process we prove the Central Limit Theorem for the first passage time. We also give the finite-time first passage probability asymptotics.

 

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Probability and Mathematical Statistics

37, z. 2, 2017

Pages from 456 to 469

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