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The Skellam distribution is a discrete distribution that describes the difference between two independent Poisson distributions with possibly different parameters.

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Does the noise term in a SDE need to be Gaussian?

Most of the examples I've seen for stochastic differential equations are of the form: $$ dX_t = \mu(X_t, t)dt + \sigma(X_t, t) dW_t $$ where $dW_t$ is a Wiener process, i.e., the independent increme …
RJ Nowling's user avatar