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Its implementation requires only a shot noise decomposition of the Lévy measure of the process (explained later) without the need for the transition density, which often will not be known explicitly and is rather expensive to evaluate numer- ically.
Furthermore, working with the Lévy measure and its series representation is particularly useful for modeling and
The mea- sure ν, called the Lévy measure, on Rd (Rd := Rd \ {0}) satis-
Cont and Tankov (2004, chap. 5) noted the importance of working directly with the Lévy measure in the multivariate case.
If a lims A(s) exists in Rd and ν is a valid Lévy measure, then
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