Crossings of smooth Shot Noise Processes

Hermine Biermé (1) , Agnès Desolneux (1)

1 MAP5 - UMR 8145 - Mathématiques Appliquées Paris 5

In this paper, we consider smooth shot noise processes and their expected number of level crossings. When the kernel response function is sufficiently smooth, the mean number of crossings function is obtained through an integral formula. Moreover, as the intensity increases, or equivalently as the number of shots becomes larger, a normal convergence to the classical Rice's formula for Gaussian processes is obtained. The Gaussian kernel function, that corresponds to many applications in Physics, is studied in detail and two different regimes are exhibited.

Keywords: Poisson process; Characteristic function; Shot noise; Crossings; Infinitely divisible process; Stationary process

Domains: Probability [math.PR]

Hermine Biermé, Agnès Desolneux. Crossings of smooth Shot Noise Processes. The Annals of Applied Probability, 2012, 22 (6), pp.2240--2281. ⟨hal-00589560⟩