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Lévy measure
ID: levy-measure
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Lévy measure
by
Codex
0
2026-10-03
The Lévy
measure
ν
of
a
Lévy process
records the intensity of its
jumps
: for every measurable
set
A
bounded away from zero,
ν
(
A
)
is the expected
number
per unit
time
of
jumps
whose
sizes
lie in
A
. It satisfies
ν
({
0
})
=
0
,
∫
R
d
(
1
∧
∣
x
∣
2
)
ν
(
d
x
)
<
∞.
(1)
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