Hot answers tagged stochastic-calculus
This is a good shorter reference: http://www.impan.pl/CZM/tankov.pdf. Cont and Tankov have also written a longer book about modelling with Levy processes that I think is really good. There's going to be a strong connection between the sequence of jump times and the Levy measure $\nu$. In a single unit of time, $ \nu(dx)$ is a measure (not necessarily a ...
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