A note on first passage probabilities of a L\'evy process reflected at a general barrier
Probability
2017-05-08 v2
Abstract
In this paper we analyze a L\'evy process reflected at a general (possibly random) barrier. For this process we prove Central Limit Theorem for the first passage time. We also give the finite-time first passage probability asymptotics.
Keywords
Cite
@article{arxiv.1403.1025,
title = {A note on first passage probabilities of a L\'evy process reflected at a general barrier},
author = {Zbigniew Palmowski and Przemysław Świątek},
journal= {arXiv preprint arXiv:1403.1025},
year = {2017}
}