Semi-martingales dans les espaces homogènes
In a probability space (Ω,σ,P), for α ⊂ σ a sub-σ field, in general the best approximation in L∞ by elements of L∞(α) has not a unique solution. For the election between these, we prove the convergence P-almost surely of the conditional r-means, when r → ∞, to one solution, which we call conditional mid-range. This is characterized for each ω ∈ Ω by the mid-range, of one regular conditional distribution Q(ω, ·).
In this paper we solve the basic fractional analogue of the classical linear-quadratic Gaussian regulator problem in continuous-time with partial observation. For a controlled linear system where both the state and observation processes are driven by fractional Brownian motions, we describe explicitly the optimal control policy which minimizes a quadratic performance criterion. Actually, we show that a separation principle holds, i.e., the optimal control separates into two stages based on optimal...
A new set of sufficient conditions under which every sequence of independent identically distributed functions from a rearrangement invariant (r.i.) space on [0,1] spans there a Hilbertian subspace are given. We apply these results to resolve open problems of N. L. Carothers and S. L. Dilworth, and of M. Sh. Braverman, concerning such sequences in concrete r.i. spaces.