On the Markov model of shot noise

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 wh ite 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 explo red. It is shown that the presented approach provides the generation of jum p processes having marginal PDF with 'heavy' tails which are inherent in re al shot noise. (C) 1999 Elsevier Science B.V. All rights reserved.