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Quantitative Finance · Begrippenlijst

Wat is Lévy process, infinitely divisible distribution?

Ook bekend als: Lévy process · infinitely divisible distribution

Definition 6.5 Quantitative Methods · Hoofdstuk 6 — Jump Processes

A Lévy process is a càdlàg process with X0=0X_0 = 0 and independent, stationary increments. A law μ\mu is an infinitely divisible distribution if for every nn it is the law of a sum of nn independent, identically distributed variables.

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