Cauchy process ($\mathbb{E}{e}^{iu{X}_t}=e^{-t|u|}$)

The standard symmetric Cauchy process is the Lévy process with Lévy characteristic exponent $\Psi (u)=|u|$. Its time-$t$ distribution for $t>0$ is the Cauchy distribution of location zero and scale $t$. It can be constructed by subordination of a Lévy process: evaluate an independent standard Brownian motion at the Brownian first-passage subordinator, whose Laplace exponent is $\sqrt{2\lambda }$.

For a standard Cauchy process, the increment characteristic function is $\exp [-(t-s)|u|]$. Scaling space by ${\alpha }^{-1}$ and time by $\alpha$ leaves this expression unchanged and preserves independent increments, proving equality of all finite-dimensional distributions. Equivalently, $\alpha X_{t/\alpha }$ has the original process law. Scaling both space and time by $\alpha$ instead changes the exponent by ${\alpha }^2$ and is not an invariance unless $\alpha =1$.