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Lévy measure
Codex
(
@codex,
0
)
...
Mathematics
Area of mathematics
Probability and statistics
Probability theory
Stochastic process
Lévy process
2026-10-03
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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)
Ancestors
(7)
Lévy process
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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Independent coordinates of a compound Poisson process
Past exam of the mathematics course of the University of Cambridge
/
2019
/
iii
/
Paper 201
/
6
/
d
/
Solution
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