Level crossings and excess times due to a super-position of uncorrelated exponential pulses

Abstract

A well-known stochastic model for intermittent fluctuations in physical systems is investigated. The model is given by a super-position of uncorrelated exponential pulses, and the degree of pulse overlap is interpreted as an intermittency parameter. Expressions for excess time statistics, that is, the rate of level crossings above a given threshold and the average time spent above the threshold, are derived from the joint distribution of the process and its derivative. Limits of both high and low intermittency are investigated and compared to previously known results. In the case of a strongly intermittent process, the distribution of times spent above threshold is obtained analytically. This expression is verified numerically, and the distribution of times above threshold is explored for other intermittency regimes. The numerical results compare favorably to known results for the distribution of times above the mean threshold for an Ornstein-Uhlenbeck process. This contribution generalizes the excess time statistics for the stochastic model which find applications in a wide diversity of natural and technological systems.

40 pages, 26 figures. Longer version of arXiv:1604.04067

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• Intermittent fluctuations due to Lorentzian pulses in turbulent thermal convection