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

zbMath1393.60049arXiv1403.1025MaRDI QIDQ4578306

Zbigniew Palmowski, Przemysław Świątek

Publication date: 8 August 2018

Full work available at URL: https://arxiv.org/abs/1403.1025

zbMATH Keywords

asymptoticscentral limit theoremreflected Lévy processfirst-passage probability

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25)

Related Items (1)

Parisian ruin of self-similar Gaussian risk processes

Cites Work

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