The principle of truncations in applied probability
The statistical equilibrium of an isotropic stochastic flow with negative Lyapounov exponents is trivial
The value function in ergodic control of diffusion processes with partial observations II
The problem of minimizing the ergodic or time-averaged cost for a controlled diffusion with partial observations can be recast as an equivalent control problem for the associated nonlinear filter. In analogy with the completely observed case, one may seek the value function for this problem as the vanishing discount limit of value functions for the associated discounted cost problems. This passage is justified here for the scalar case under a stability hypothesis, leading in particular to a "martingale"...
The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities.
Towards an innovation theory of spatial Brownian motion under boundary conditions.
Transformations de Riesz pour les lois gaussiennes