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arXiv · 1403.1025

A note on first passage probabilities of a L\'evy process reflected at a general barrier

Zbigniew Palmowski·Przemysław Świątek
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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.

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Zbigniew Palmowski, Przemysław Świątek. 2014-03-05. A note on first passage probabilities of a L\'evy process reflected at a general barrier. https://arxiv.org/abs/1403.1025

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