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arXiv:1403.1025 [math.PR]AbstractReferencesReviewsResources

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

Zbigniew Palmowski, Przemysław Świątek

Published 2014-03-05, updated 2017-05-04Version 2

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.

Categories: math.PR
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