Φ-Sobolev inequalities – 145
American options – 367
asymptotic normality – 175
autoregressive model – 313
averaging principle – 229
BDG inequalities – 425
Bernstein inequality – 211
beta distribution – 211
branching process – 397
concentration bounds – 211
concentration inequalities – 145
conditioning to stay positive – 59
constrained optimization – 19
convertible features – 367
coupling – 313
coupon collector’s problem – 111
Cramér–Lundberg risk model – 247
deviation inequalities – 145
directional extremes – 59
empirical means – 37
Erlang mixture distribution – 247
estimator – 287
exchangeability – 59
exponential distribution – 287
fractional Brownian motion – 343
fractional calculus – 413
fractional Ornstein–Uhlenbeck processes – 37
functional limit theorem – 397
game options – 367
Gamma mixing – 37
Gamma subordinator – 413
Gaussian processes – 343
generalized BSDE with jumps – 77
generalized Wright function – 37
Hausdorff saturation – 287
homogeneous and isotropic strongly dependent Gaussian random field – 267
Hurst index estimation – 175
inhomogeneous Markov chain – 313
instant enforcement – 425
integral-partial differential equations – 77
Itô’s isometry – 425
Kies distribution – 287
least squares estimate in the Walker–Brillinger sense – 267
Lévy processes – 145
local behavior – 59
logarithmic Sobolev inequalities – 145
long-range dependence – 343
Malliavin calculus – 145
marked point process – 1
mild solution – 229
minimax identity – 19
mixed fractional Brownian motion – 175
model-free approach in Mathematical Finance – 425
multi-mixed fractional Brownian motion – 343
multi-mixed fractional Ornstein–Uhlenbeck process – 343
multivariate trigonometric model – 267
nonconcave utility – 19
nonlocal equations – 413
occupancy problem – 111
optimal strategies – 367
outer measure – 425
persistence diagram – 1
persistent Betti number – 1
pricing – 367
quadratic variation – 425
random environment – 397
random topology – 1
rcll barrier – 77
recurrence sequences – 247
reflected BSDE – 77
renewal theory – 313
replacement model for random lifetimes – 111
robust utility functionals – 19
ruin probability – 247
sampled extrema – 111
short-range dependence – 343
Sparre Andersen identity – 59
stationary processes – 343
stationary-increment processes – 343
stochastic Burgers equation – 229
stochastic heat equation – 229
stochastic integral – 425
stochastic measure – 197, 229
Stochastic partial differential equation – 175
stochastic transport equation – 197
stochastic Volterra equations – 37
strong consistency – 175, 267
survival probability – 397
symmetric integral – 197
tail behavior – 287
variance Gamma process – 413
viscosity solution – 77
weak solution – 197
Weibull distribution – 287