Lévy measure

The Lévy measure $\nu$ of a Lévy process records the intensity of its jumps: for every measurable set $A$ bounded away from zero, $\nu (A)$ is the expected number per unit time of jumps whose sizes lie in $A$. It satisfies

For $\alpha >0$, the Lévy process with characteristic function $\mathbb{E}{e}^{iu{X}_t}=(1+u^2/{\alpha }^2{)}^{-t}$ has zero Gaussian coefficient, zero uncompensated drift, and the displayed Lévy measure. Indeed, the symmetric jump integral is $2{\int }_0^{\infty }(\cos (uy)-1)e^{-\alpha y}dy/y$. Differentiating in $u$ gives $-2u/({\alpha }^2+u^2)$, and integrating back from zero gives $-\log (1+u^2/{\alpha }^2)$. The time-one law is the Laplace distribution of rate $\alpha$. The jump activity is infinite, since $K$ has infinite mass near zero, but the jump variation is finite because $\int (1\wedge |y|)K(dy)<\infty$.