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Results tagged with levy-processes
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user 5656
Theory and applications of Lévy processes (stochastic processes with stationary and independent increments): e.g. path properties, stochastic differential equations driven by jump-type processes, fluctuation theory of Lévy processes, queuing theory.
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Lévy measure and Lévy process
A Lévy measure $\nu$ on $\mathbb R^{d}$ is a measure satisfying
$$\nu\{0\} = 0, \ \int_{\mathbb R^{d}} (|y|^{2}\wedge 1) \nu(dy) <\infty.$$
A Lévy process can be characterized by triples $(b, A, \nu) …
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