 Lévy–Itô decomposition

ID: levy-ito-decomposition

B

N

with intensity

d t K (d x)

, a Lévy process with triplet

(a, b, K)

X_{t} = a t + b B_{t} + \int_{0}^{t} \int_{∣ x ∣ \leq 1} x N (d s, d x) + \int_{0}^{t} \int_{∣ x ∣ > 1} x N (d s, d x) .

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