Probability theory and stochastic processes Markov processes Concept
Lévy process
Summary
A Lévy process is a stochastic process that starts at and has independent and stationary increments, with paths continuous in probability. It is the continuous-time analogue of a random walk. Brownian motion and the Poisson process are the two basic examples, and every Lévy process combines a drift, a Brownian part and jumps. The law of each is infinitely divisible, and the Lévy–Khintchine representation describes all of them.
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| Tag | 8NT5CFG2ZR |
|---|---|
| URI | m2://8NT5CFG2ZR |
| Kind | concept |
| Writing | W0 stub |
| MSC | 60G51, 60J25 |
| Specializes | Stochastic process |
| Same as | |
| Changed | 2 November 2026 |
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