On the Markov model of shot noise

Gregory Kotler, Valery Kontorovich, Vladimir Lyandres, Sergey Primak

Research output: Contribution to journalArticlepeer-review

6 Scopus citations


The continuous jump (Markov) exponential correlation process as a model of the shot noise is considered. The process is presented as a solution of the linear first-order stochastic differential equations (SDE) with Poisson white noise on the right-hand side. The dependence of the model's probability density function (PDF) on the PDF and intensity of the excitation is explored. It is shown that the presented approach provides the generation of jump processes having marginal PDF with `heavy' tails which are inherent in real shot noise.

Original languageEnglish
Pages (from-to)79-88
Number of pages10
JournalSignal Processing
Issue number1
StatePublished - 5 Jan 1999

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Software
  • Signal Processing
  • Computer Vision and Pattern Recognition
  • Electrical and Electronic Engineering


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