A Fourier Approach for the Level Crossings of Shot Noise Processes with Jumps
Résumé
We use here a change of variable formula in the framework of functions of bounded variation to derive an explicit formula for the Fourier transform of the crossing function of shot noise processes with jumps. We illustrate the result on some examples and give some applications. In particular we are then able to study the behavior of the mean number of crossings as the intensity of the Poisson point process of the shot noise goes to infinity.
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