A Fourier Approach for the Level Crossings of Shot Noise Processes with Jumps - Archive ouverte HAL
Article Dans Une Revue Journal of Applied Probability Année : 2012

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

Hermine Biermé
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Agnès Desolneux

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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Dates et versions

hal-00537798 , version 1 (19-11-2010)
hal-00537798 , version 2 (14-07-2011)

Identifiants

  • HAL Id : hal-00537798 , version 2

Citer

Hermine Biermé, Agnès Desolneux. A Fourier Approach for the Level Crossings of Shot Noise Processes with Jumps. Journal of Applied Probability, 2012, 49 (1), pp.100--113. ⟨hal-00537798v2⟩
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