Lévy processes

David Applebaum has a nice survey article on Lévy processes. As we’ve mentioned before, a persistent modelling problem in finance is that the variance of changes in financial time series, such as stock prices, seems to be infinite. This shows up as large jumps in price, larger than can be explained by Brownian motion. Lévy processes, a broad class of stochastic processes that generalize both Brownian motion and Poisson processes, are one candidate to model prices.

3 thoughts on “Lévy processes

  1. Is there any way to get access to this article online? I thought the Berkeley proxy server would be able to get me in, but it seems they want an AMS username and password. I guess I can track down any of the dozens of copies of the Notices around the department.

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