A note on first passage probabilities of a Lévy process reflected at a general barrier
DOI:
https://doi.org/10.19195/0208-4147.37.2.13Słowa kluczowe:
Reflected Lévy process, Central Limit Theorem, asymptotics, first passage probabilityAbstrakt
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.
