Lévy–Khintchine formula
= Lévy–Khintchine formula
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Every real Lévy process has a unique triplet $(a,b,K)$ with $b\geq0$ and $\int(1\wedge x^2)K(dx)<\infty$ such that
$$
\mathbb E e^{iuX_t}=\exp\left\{t\left(iua-\frac12bu^2+\int_{\mathbb R\setminus\{0\}}(e^{iux}-1-iux\mathbf1_{\{|x|\leq1\}})K(dx)\right)\right\}.
$$
= Lévy–Khintchine theorem
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