Rice Formula for processes with jumps and applications

@inproceedings{Dalmao2015RiceFF,
  title={Rice Formula for processes with jumps and applications},
  author={Federico Dalmao and Ernesto Mordecki},
  year={2015}
}
We extend Rice Formula for a process that is the sum of a smooth process and a pure jump process. We obtain formulas for the mean number of both, continuous and discontinuous crossings through a fixed level on a compact time interval. An application to the study of the behavior of the tail of the distribution function of the maximum of the process over a compact time interval is considered. Further, we give a generalization, to the non-stationary case, of Borovkov-Last’s Rice Formula for… CONTINUE READING

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