A Fourier Approach for the Level Crossings of Shot Noise Processes with Jumps

DOI10.1239/jap/1331216836zbMath1253.60052OpenAlexW2027169620MaRDI QIDQ5388742

Agnès Desolneux, Hermine Biermé

Publication date: 20 April 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1331216836

zbMATH Keywords

characteristic functionstationary processPoisson point processfunctions of bounded variationlevel crossingchange-of-variable formulashot noise process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Characteristic functions; other transforms (60E10) Sample path properties (60G17) Functions of bounded variation, generalizations (26A45)

Related Items (6)

On the perimeter of excursion sets of shot noise random fields ⋮ On the finiteness of the moments of the measure of level sets of random fields ⋮ Asymptotics for the critical level and a strong invariance principle for high intensity shot noise fields ⋮ Estimating fast mean-reverting jumps in electricity market models ⋮ Random spectral measure for non Gaussian moving averages ⋮ Rice formula for processes with jumps and applications

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