On Rice's formula for stationary multivariate piecewise smooth processes

DOI10.1239/JAP/1339878791MaRDI QIDQ2897147zbMATH OpenOpenAlexWikidataFDO

Authors K. Borovkov, Günter Last

Publication date 8 July 2012

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

Full work available at URL https://arxiv.org/abs/1009.3885, https://projecteuclid.org/euclid.jap/1339878791

zbMATH Keywords

stationaritystochastic networklevel crossingPalm probabilityRice's formulapiecewise-deterministic process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: Let $X=X_t:tge0$ be a stationary piecewise continuous $R^d$-valued process that moves between jumps along the integral curves of a given continuous vector field, and let $Ssubset{R}^d$ be a smooth surface. The aim of this paper is to derive a multivariate version of Rice's formula, relating the intensity of the point process of (localized) continuous crossings of $S$ by $X$ to the distribution of $X_0$. Our result is illustrated by examples relating to queueing networks and stress release network models.

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Cites work

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Cited in

(6)

• Averaging for slow–fast piecewise deterministic Markov processes with an attractive boundary
• On the finiteness of the moments of the measure of level sets of random fields
• Multivariate Jacobi process with application to smooth transitions
• Estimation of the average number of continuous crossings for non-stationary non-diffusion processes
• Rice formula for processes with jumps and applications
• Origin of Rice's formula

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