A characterisation of the closure of in
A compensator characterization of point processes on topological lattices.
A martingale proof of the theorem by Jessen, Marcinkiewicz and Zygmund on strong differentiation of integrals
A *-mixing convergence theorem for convex set valued processes.
A new proof of Kellerer’s theorem
In this paper, we present a new proof of the celebrated theorem of Kellerer, stating that every integrable process, which increases in the convex order, has the same one-dimensional marginals as a martingale. Our proof proceeds by approximations, and calls upon martingales constructed as solutions of stochastic differential equations. It relies on a uniqueness result, due to Pierre, for a Fokker-Planck equation.
A new proof of Kellerer’s theorem
In this paper, we present a new proof of the celebrated theorem of Kellerer, stating that every integrable process, which increases in the convex order, has the same one-dimensional marginals as a martingale. Our proof proceeds by approximations, and calls upon martingales constructed as solutions of stochastic differential equations. It relies on a uniqueness result, due to Pierre, for a Fokker-Planck equation.
A non-nonstandard proof of Reimers' existence result for heat SPDEs.
A non-reversible semi-martingale
A note on stochastic integration with respect to optional semimartingales.
A note on weak convergence on martingale measures
À propos de la formule d'Azéma-Yor
A semimartingale characterization of average optimal stationary policies for Markov decision processes.
A Weak-Type Inequality for Submartingales and Itô Processes
Let α ∈ [0,1] be a fixed parameter. We show that for any nonnegative submartingale X and any semimartingale Y which is α-subordinate to X, we have the sharp estimate . Here W is the weak- space introduced by Bennett, DeVore and Sharpley. The inequality is already sharp in the context of α-subordinate Itô processes.
Absolutely summing operators and measure amarts in Fréchet spaces
Appendice : « Décomposition en produit de deux browniens d'une martingale à valeurs dans un groupe muni d'une métrique bi-invariante »
Applications de dualité dans les espaces de Köthe
Applications of set-valued Radon-Nikodym theorems to convergence of multivalued L...-amarts.
Approximation du crochet de certaines semimartingales continues
Approximation of predictable characteristics of processes with filtrations
Arrêt de certaines suites multiples de variables aléatoires indépendantes