Levy: Processes And Stochastic Calculus

: The statistical properties of an increment depend only on the length of the time interval, not when it occurred.

: Pricing exotic options and modeling "volatility smiles" where market returns have heavier tails than a normal distribution. Levy processes and stochastic calculus

: Recent research uses Lévy-driven SDEs to improve the performance of non-convex optimization and Bayesian learning algorithms. Lévy Processes and Stochastic Calculus : The statistical properties of an increment depend

: A pure jump process typically used to model arrival times or discrete events. Levy processes and stochastic calculus