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Results tagged with levy-processes
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user 94055
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
Let us consider the one-dimensional case. By the Lévy-Khintchine formula, we have$$E(e^{i\theta X_1})= e^{-\phi(\theta)},$$ where
$$\phi(\theta)=\int_{R}(1-e^{i\theta x}+i\theta x 1_{|x|<1})\nu(dx).$$ …
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