α-stable like process – 49
approximation rate – 117
asymptotic normality – 181
asymptotic normality of estimators – 13
Besov space – 129
classical measurement error – 13
consistent criteria – 3
Corrected Maximum Likelihood Estimator – 13
correlogram – 139
Cox proportional hazards model – 13
criterion for testing hypotheses – 139
De Vylder approximation – 167
distribution of local time – 109
entropy – 151
estimator of baseline hazards function – 13
existence and uniqueness of the solution to SDE – 49
exponential bound – 167
exponential moments and potentials – 109
fair option price – 95
finite mixture model – 195
fractional Brownian sheet – 73
functional moments – 195
Gamma-type process – 49
Hölder regularity – 129
homogeneous transient diffusion process – 109
hypothesis testing – 195
integral functional – 109, 117
iterated log-type law – 73
LAN property – 33
Lévy driven SDE – 33
Lévy-type processes – 49
likelihood function – 33
log-Sobolev inequality – 151
Markov process – 117
martingale – 151
mild solution – 129
mixture with varying concentrations – 195
modified geometric fractional Ornstein-Uhlenbeck process – 95
modified geometric Ornstein-Uhlenbeck process – 95
moments – 109
Monte Carlo method – 167
non-Lipschitz coefficients – 65
objective option price – 95
orthogonal – 3
periodogram – 181
Poisson measure – 65
regular statistical experiment – 33
risk model – 167
self-similar random field – 73
singular – 3
square Gaussian stochastic process – 139
stochastic differential equations – 65
stochastic heat equation – 129
stochastic measure – 129
strong limit theorem – 73
strongly separable probability measures – 3
survival probability – 167
tapered data – 181
trimmed filtration – 151
trimmed regions – 151
uniqueness of a solution – 65
weakly separable – 3
