Lévy process — drift + diffusion + jumps

One sample path of $X_t = b\,t + \sigma W_t + J_t$. Slide the three ingredients of the Lévy–Itô decomposition — the drift $b$, the diffusion strength $\sigma$, and the jump rate $\lambda$ (with a jump-size scale) — and watch how the path changes. Press New path to resample.

Sample path on [0, 10]

The blue curve is $X_t$. The dashed gray line is the pure drift $b\,t$; the red dots mark individual jumps. Turn the diffusion off ($\sigma = 0$) to see a pure-jump path, or the jumps off ($\lambda = 0$) to see a drifted Brownian motion.

time 0.0 $X_t$ 0.00 jumps so far 0
$X_t$ path drift $b\,t$ jump