Lévy Measure

A Lévy measure is a mathematical tool used to describe how often and how big the jumps or sudden changes are in a process called a Lévy process, which models random events that can suddenly shift. It tells us the distribution and intensity of these jumps, helping to understand the process's behavior, especially in fields like finance and physics. Essentially, it quantifies the frequency and size of rare but impactful movements within a system driven by random, jump-like events.