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Lévy process

In probability theory, a Lévy process, named after the French mathematician Paul Lévy, is a stochastic process with independent, stationary increments: it represents the motion of a point whose successive displacements are random, in which displacements in pairwise disjoint time intervals are independent, and displacements in different time intervals of…

Properties, Mathematical definition & Lévy–Khintchine representation

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Overview

Mathematical definition

Properties

Lévy–Khintchine representation

Generalization

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Map overview Semantic statistics

Lévy process

Nodes45
Edges44
Triples63
Avg. degree1.96
Density0.044444
Components1

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Lévy process

Top relations

related to References · 30
Lévy process → American Mathematical Society, Andreas, Applebaum, Applications, Cambridge University Press, Cont, CRC Press, David, December, Finance, Financial Modeling, Fluctuations, From Probability, Infinitely Divisible Distributions, Introductory Lectures, ISBN, ISSN, Jump Processes, Ken-Iti, Kyprianou
related to Lévy–Itô decomposition · 10
Lévy process → Because, Brownian, Itô, Khintchine, Let, Lévy, Pi, Poisson, The Lévy, Then
related to Lévy–Khintchine representation · 8
Lévy process → Because, Brownian, In, Khintchine, Lévy, Pi, The, This
related to Mathematical definition · 5
Lévy process → Continuity, For, Independence, Lévy, Stationary
is a · 3
Lévy process → Brownian motion with drift, stochastic process X, sum of Brownian motion with drift and another independent random variable
related to Infinite divisibility · 3
Lévy process → Conversely, Lévy, The
related to Generalization · 2
Lévy process → Lévy, Still
related to Moments · 2
Lévy process → In, Lévy

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Important terminology

process lévy displaystyle independent random processes probability distribution motion increments poisson xt brownian xs jump time stationary variables pi stochastic

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
Lévy processis astochastic process X0.90text
Lévy processis aBrownian motion with drift0.90text
Lévy processis asum of Brownian motion with drift and another independent random variable0.90text
Lévy processrelated to GeneralizationLévy0.60section
Lévy processrelated to GeneralizationStill0.60section
Lévy processrelated to Infinite divisibilityThe0.60section
Lévy processrelated to Infinite divisibilityLévy0.60section
Lévy processrelated to Infinite divisibilityConversely0.60section
Lévy processrelated to Lévy–Itô decompositionBecause0.60section
Lévy processrelated to Lévy–Itô decompositionLévy0.60section
Lévy processrelated to Lévy–Itô decompositionKhintchine0.60section
Lévy processrelated to Lévy–Itô decompositionBrownian0.60section

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