 Centered square-integrable Lévy martingale (source code)

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= Centered square-integrable Lévy martingale

If a <Lévy process>[Lévy process] has <expected value>[mean zero] and $\operatorname{Var}(X_1)=\sigma^2<\infty$, then $\operatorname{Var}(X_t)=t\sigma^2$ and $X_t^2-t\sigma^2$ is a <martingale>.

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