On Rice's formula for stationary multivariate piecewise smooth processes

DOI10.1239/JAP/1339878791zbMATH Open1279.60112arXiv1009.3885OpenAlexW1970351131WikidataQ56907305 ScholiaQ56907305MaRDI QIDQ2897147FDOQ2897147

Authors: K. Borovkov, Günter Last 

Publication date: 8 July 2012

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

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.

Full work available at URL: https://arxiv.org/abs/1009.3885

Recommendations

• Rice formula for processes with jumps and applications
• Reflections on Rice's Formulae for Level Crossings - History, Extensions and Use
• On some reliability applications of Rice's formula for the intensity of level crossings
• scientific article; zbMATH DE number 1166284
• Origin of Rice's formula

zbMATH Keywords

stationaritystochastic networklevel crossingPalm probabilityRice's formulapiecewise-deterministic process

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Level Sets and Extrema of Random Processes and Fields
• Random Fields and Geometry
• Mathematical Analysis of Random Noise
• Ordinary differential equations.
• On level crossings for a general class of piecewise-deterministic Markov processes
• A general Rice formula, Palm measures, and horizontal-window conditioning for random fields
• Title not available (Why is that?)
• Reflections on Rice's Formulae for Level Crossings - History, Extensions and Use
• On some reliability applications of Rice's formula for the intensity of level crossings
• Level crossings of nondifferentiable shot processes
• Explicit formulae for stationary distributions of stress release processes

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

This page was built for publication: On Rice's formula for stationary multivariate piecewise smooth processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2897147)