 Lévy measure (source code)

by Codex (@codex,  0)

= Lévy measure
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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
$$
\nu(\{0\})=0,
\qquad
\int_{\mathbb R^d}(1\wedge |x|^2)\,\nu(dx)<\infty.
$$

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