Change of probability measure for Poisson process

[@yeoyeodere1]

Thank you for the video. I think there was a connection to Levy processes mentioned in an earlier video but I havent seen this covered in subsequent videos. I'm looking for an intelligible explanation of the Levy-Khintchine formula. Will you be covering that please?

[@quantpie]

You're welcome @Rupert Kenna! Hope you are well! Yes Levy-Khintchine is not too far away now.

[@lightningblade9347]

Dear quantpie, thank you so much for the video. If you don't mind me asking, do you plan on making some videos treating some optimal stopping times problems in the near future?

[@quantpie]

Eventually yes! Very close to our hearts, and should have covered by now, but it is just the demand slowing us down! many thanks!

[@ivelinamladenova7066]

Thank you so much for sharing this!

[@quantpie]

You are so welcome! thank you!

[@thehardlife5588]

How come when you change the probability measure you often give a transformation of the random variable in continous probability but in this instance you change lambda and not N which is the random variable?

[@quantpie]

Thanks for the great question! You captured the essence of it! When we change probability measure we keep the random variable unchanged- the only thing that changes is the probability of the variable taking diffferrn values ( in the most simple case, in reality it is slicker more complicated as we need to consider it in terms of sigma-algebra and all that!).

[@madaragrothendieckottchiwa8648]

Good works quantpie @best

[@quantpie]

thanks @Madara Grothendieck Ottchiwa!