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

• Autorzy: Palmowski Z. , Świątek P.

Identyfikatory

DOI

10.19195/0208-4147.37.2.13

• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

reflected Lévy process; Central Limit Theorem; asymptotics; first passage probability

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2017
• Tom: Vol. 37, Fasc. 2
• Strony: 455--469
• Opis fizyczny: Bibliogr. 20 poz.

Twórcy

autor

Palmowski Z.

• Faculty of Pure and Applied Mathematics, Wrocław University of Science and Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

autor

Świątek P.

• Credit Suisse, pl. Grunwaldzki 25, 50-365 Wrocław, Poland

Bibliografia

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Uwagi

Dedicated to Professor Tomasz Rolski.

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).