α-stable process – 1
absolute moment – 393
affine term structure – 433
aging classes – 153
asymptotic mean square stability – 313
asymptotic normality – 169
autoregressive models – 83
autoregressive process – 375
backward recurrence time – 153
Besov space – 189
binomial distribution – 27
causality – 83
change of measures – 471
characteristic function approach – 325
compound mixed renewal processes – 471
consistency – 169
dependence – 153
dependent Lévy factors – 433
discrete random fields – 83
distribution of supremum – 289
Engel series – 273
ergodicity – 169
exit time – 375
expected utility – 225
exponential nonlinearity – 313
extremal process – 251
first passage time – 375
forward recurrence time – 153
fractional Brownian motion – 123
fractional noise – 289
functional limit theorem – 251, 347
generalized CIR model – 433
good sequence – 273
Hara utility functions – 225
heat equation – 61
high-dimensional asymptotics – 43
high-order moments – 27
hitting time – 135
Hölder regularity – 61
hypothesis testing – 43
infinite expectation – 273
inverse subordinator – 135
large deviation principle – 375
large deviations – 203
large financial markets – 225
largest summand – 273
law of the iterated logarithm – 347
lightly trimmed sum – 273
linear matrix inequality (LMI) – 313
linear price impact – 123
Lüroth series – 273
M1 topology – 251
martingale measures – 225
martingales – 471
maximum likelihood estimator – 169
mean-variance mixtures – 225
mild solution – 61
Mittag-Leffler function – 203
moment – 393
moment asymptotics – 27
Moore–Penrose inverse – 43
multivariate – 393
multivariate Lévy processes – 433
multivariate linear process – 251
negative regression dependence – 153
nonlinear differential equation – 313
normal distribution – 393
nth-order fractional Brownian motion – 169
Oppenheim expansion – 273
optimal liquidation – 123
option pricing – 135
parameter estimation – 407
perturbation – 1
polar decomposition – 433
positive regression dependence – 153
premium calculation principles – 471
probability approximations – 325
projected normal – 407
pseudo-gradient – 1
pseudo-process – 1
purely nondeterministic random fields – 83
random Dirichlet series – 347
random Fourier series – 189
rate of growth – 289
raw moment – 393
reducibility – 433
regular variation – 251
renewal process – 153
ruin probability – 471
singular covariance matrix – 43
singular Wishart distribution – 43
spherical statistics – 407
stability in probability – 313
stable distributions – 325
stable processes – 433
stationary random fields – 83
Stein’s method – 325
stochastic heat equation – 289
stochastic measure – 61, 189
stochastic perturbations – 313
Student’s t-distribution – 393
sub-Gaussian type random fields – 289
subdiffusion models – 135
subordinator – 135
Sylvester series – 273
symbolic algebra – 27
tangency portfolio – 43
tempered stable distributions – 325
tempered stable subordinators – 203
time-changed process – 135
trajectories of random functions – 189
upper orthant stochastic order – 153
weak convergence – 203
