### Random Walk - Market Invariants

Posted:

**May 27th, 2019, 7:23 pm**Reading through Atillio Meucci's questions for his Risk and Asset Allocation book. One of the questions

Q3.1.1 - Generate a Merton jump-diffusion process Xt at discrete times with arbitrary parameters. What are the invariants in this process?

Any ideas on what these invariants would be?

Q3.1.1 - Generate a Merton jump-diffusion process Xt at discrete times with arbitrary parameters. What are the invariants in this process?

Any ideas on what these invariants would be?