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Contents of PMS, Vol. 37, Fasc. 2,
pages 455 - 469
 

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

Zbigniew Palmowski
Przemysław Świątek

Abstract: 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.

2010 AMS Mathematics Subject Classification: Primary: 60G51, 60G50; Secondary: 60K25.

Keywords and phrases: Reflected Lévy process, Central Limit Theorem, asymptotics, first passage probability.

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