XII: 01, 1-19, LNM 649 (1978)
PRATELLI, Maurizio
Une version probabiliste d'un théorème d'interpolation de G. Stampacchia (
Martingale theory,
Functional analysis)
This theorem is similar to the Marcinkievicz interpolation theorem, in the sense that at one endpoint a weak $L^p$ inequality is involved, but at the other endpoint the spaces involved are some $L^p$ and $BMO$. It concerns linear operators only, not sublinear ones like the Marcinkiewicz theorem. A closely related result, concerning the discrete-time case, had been proved earlier by Stroock,
Comm Pure Appl. Math.,
26, 1973
Keywords: Interpolation,
$BMO$Nature: Original
Retrieve article from Numdam
XII: 02, 20-21, LNM 649 (1978)
STRICKER, Christophe
Une remarque sur les changements de temps et les martingales locales (
Martingale theory)
It is well known (see
606) that in general the class of local martingales is not invariant under changes of time. Here it is shown that, if ${\cal F}_0$ is trivial, a process which remains a local martingale under all changes of time (with bounded stopping times) is a true martingale (in full generality, it is so conditionally to ${\cal F}_0$)
Keywords: Changes of time,
Weak martingalesNature: Original Retrieve article from Numdam
XII: 03, 22-34, LNM 649 (1978)
JACOD, Jean
Projection prévisible et décomposition multiplicative d'une semi-martingale positive (
General theory of processes)
The problem discussed is the decomposition of a positive ($\ge0$) special semimartingale $X$ (the most interesting cases being super- and submartingales) into a product of a positive local martingale and a positive previsible process of finite variation. The problem is solved here in the greatest possible generality, on a maximal non-vanishing domain for $X$---this is a previsible stochastic interval $[0,S)$ which at $S$ may be open or closed
Comment: This papers improves on
1021 and
1023Keywords: Semimartingales,
Multiplicative decompositionNature: Original Retrieve article from Numdam
XII: 04, 35-46, LNM 649 (1978)
MÉMIN, Jean
Décompositions multiplicatives de semimartingales exponentielles et applications (
General theory of processes)
It is shown that, given two semimartingales $U,V$ such that $U$ has no jump equal to $-1$, there is a unique semimartingale $X$ such that ${\cal E}(X)\,{\cal E}(U)={\cal E}(V)$. This result is applied to recover all known results on multiplicative decompositions
Comment: The results of this paper are used in Mémin-Shiryaev
1312Keywords: Stochastic exponentials,
Semimartingales,
Multiplicative decompositionNature: Original Retrieve article from Numdam
XII: 05, 47-50, LNM 649 (1978)
KAZAMAKI, Norihiko
A remark on a problem of Girsanov (
Martingale theory)
It is shown that, if $M$ is a continuous local martingale which belongs to $BMO$, its stochastic exponential is a uniformly integrable martingale
Comment: This has become a well-known result. It is false for complex valued martingales, even bounded ones: see
1832Keywords: Stochastic exponentials,
$BMO$Nature: Original Retrieve article from Numdam
XII: 06, 51-52, LNM 649 (1978)
GARCIA, M.;
MAILLARD, P.;
PELTRAUT, Y.
Une martingale de saut multiplicatif donné (
Martingale theory)
Given a totally inaccessible stopping time $T$, it is shown how to construct a strictly positive martingale $M$ with $M_0=1$, such that its only jump occurs at time $T$ and $M_T/M_{T-}=K$, a strictly positive constant
Comment: See also
1308Keywords: Totally inaccessible stopping timesNature: Original Retrieve article from Numdam
XII: 07, 53-56, LNM 649 (1978)
LENGLART, Érik
Sur la localisation des intégrales stochastiques (
Stochastic calculus)
A mapping $T$ from processes to processes is
local if, whenever two processes $X,Y$ are equal on an event $A\subset\Omega$, the same is true for $TX,TY$. Classical results on locality in stochastic calculus are derived here in a simple way from the generalized Girsanov theorem (which concerns a pair of laws $P,Q$ with $Q$ absolutely continuous with respect to $P$, but not necessarily equivalent to it: see Lenglart,
Zeit. für W-theorie, 39, 1977). A new result is derived: if $X$ and $Y$ are semimartingales and their difference is of finite variation on an event $A$, then their continuous martingale parts are equal on $A$
Keywords: Girsanov's theoremNature: Original Retrieve article from Numdam
XII: 08, 57-60, LNM 649 (1978)
MEYER, Paul-André
Sur un théorème de J. Jacod (
General theory of processes)
Consider a given process $X$ adapted to a given filtration $({\cal F}_t)$. The set of laws of semimartingales consists of those laws $P$ under which $X$ is a semimartingale with respect to $({\cal F}_t)$ suitably completed. Jacod proved that the set of laws of semimartingales is convex. This is extended here to countable convex combinations, and to integrals
Comment: This easy paper has some historical interest, as it raised the problem of initial enlargement of a filtration
Keywords: Semimartingales,
Enlargement of filtrations,
Laws of semimartingalesNature: Original Retrieve article from Numdam
XII: 09, 61-69, LNM 649 (1978)
YOR, Marc
Grossissement d'une filtration et semi-martingales~: théorèmes généraux (
General theory of processes)
Given a filtration $({\cal F}_t)$ and a positive random variable $L$, the so-called
progressively enlarged filtration is the smallest one $({\cal G}_t)$ containing $({\cal F}_t)$, and for which $L$ is a stopping time. The enlargement problem consists in describing the semimartingales $X$ of ${\cal F}$ which remain semimartingales in ${\cal G}$, and in computing their semimartingale characteristics. In this paper, it is proved that $X_tI_{\{t< L\}}$ is a semimartingale in full generality, and that $X_tI_{\{t\ge L\}}$ is a semimartingale whenever $L$ is
honest for $\cal F$, i.e., is the end of an $\cal F$-optional set
Comment: This result was independently discovered by Barlow,
Zeit. für W-theorie, 44, 1978, which also has a huge intersection with
1211. Complements are given in
1210, and an explicit decomposition formula for semimartingales in
1211Keywords: Enlargement of filtrations,
Honest timesNature: Original Retrieve article from Numdam
XII: 10, 70-77, LNM 649 (1978)
DELLACHERIE, Claude;
MEYER, Paul-André
A propos du travail de Yor sur le grossissement des tribus (
General theory of processes)
This paper adds a few comments and complements to the preceding one
1209; for instance, the enlargement map is bounded in $H^1$
Keywords: Enlargement of filtrations,
Honest timesNature: Original Retrieve article from Numdam
XII: 11, 78-97, LNM 649 (1978)
JEULIN, Thierry;
YOR, Marc
Grossissement d'une filtration et semi-martingales~: Formules explicites (
General theory of processes)
This contains very substantial improvements on
1209, namely, the explicit computation of the characteristics of the semimartingales involved
Comment: For additional results on enlargements, see the two Lecture Notes volumes
833 (T. Jeulin) and
1118. See also
1350Keywords: Enlargement of filtrations,
Honest timesNature: Original Retrieve article from Numdam
XII: 12, 98-113, LNM 649 (1978)
DELLACHERIE, Claude;
MEYER, Paul-André;
YOR, Marc
Sur certaines propriétés des espaces de Banach $H^1$ et $BMO$ (
Martingale theory,
Functional analysis)
The general subject is the weak topology $\sigma(H^1,BMO)$ on the space $H^1$. Its relatively compact sets are characterized by a uniform integrability property of the maximal functions. A sequential completeness result (a Vitali-Hahn-Saks like theorem) is proved. Finally, a separate section is devoted to the denseness of $L^\infty$ in $BMO$, a subject which has greatly progressed since (the Garnett-Jones theorem, see
1519; see also
3021 and
3316)
Keywords: Hardy spaces,
$BMO$Nature: Original Retrieve article from Numdam
XII: 13, 114-131, LNM 649 (1978)
YAMADA, Toshio
Sur une construction des solutions d'équations différentielles stochastiques dans le cas non-lipschitzien (
Stochastic calculus)
The results of this paper improve on those of the author's paper (
Zeit. für W-theorie, 36, 1976) concerning a one-dimensional stochastic differential equations of the classical Ito type, whose coefficients satisfy a Hölder-like condition instead of the standard Lipschitz condition. The proofs are simplified, and strong convergence of the Cauchy method is shown
Comment: Such equations play an important role in the theory of Bessel processes (see chapter XI of Revuz-Yor,
Continuous Martingales and Brownian Motion, Springer 1999
Keywords: Stochastic differential equations,
Hölder conditionsNature: Original Retrieve article from Numdam
XII: 14, 132-133, LNM 649 (1978)
CHOU, Ching Sung
Extension au cas continu d'un théorème de Dubins (
Martingale theory)
After a suitable translation, Dubins' theorem can be stated as follows: if $X$ is a positive submartingale with $X_t\in L^2$ for all $t$, then $X^2-[X,X]$ is a submartingale
Keywords: SubmartingalesNature: Original Retrieve article from Numdam
XII: 15, 134-137, LNM 649 (1978)
LÉPINGLE, Dominique
Une inégalité de martingales (
Martingale theory)
The following inequality for a discrete time adapted process $(a_n)$ and its conditional expectations $b_n=E[a_n\,|\,{\cal F}_{n-1}]$ is proved: $$\|(\sum_n b_n^2)^{1/2}\|_1\le 2\|(\sum_n a_n^2)^{1/2}\|_1\ .$$ A similar inequality in $L^p$, $1\!<\!p\!<\!\infty$, does not require adaptedness, and is due to Stein
Keywords: Inequalities,
Quadratic variationNature: Original Retrieve article from Numdam
XII: 16, 138-147, LNM 649 (1978)
LÉPINGLE, Dominique
Sur certains commutateurs de la théorie des martingales (
Martingale theory)
Let $\beta$ the operator on (closed) martingales $X$ consisting in multiplication of $X_{\infty}$ by a given r.v. $B$. One investigates the commutator $J\beta-\beta J$ of $\beta$ with some operator $J$ on martingales (a typical example is stochastic integration $JX=H.X$ where $H$ is a given bounded previsible process), expecting this commutator to be bounded in $L^p$ if $B$ belongs to $BMO$. This is indeed true under natural conditions on $J$
Keywords: $BMO$Nature: Original Retrieve article from Numdam
XII: 17, 148-161, LNM 649 (1978)
LÉPINGLE, Dominique
Sur le comportement asymptotique des martingales locales (
Martingale theory)
This paper is devoted to the extension of well-known statements (the strong law of large numbers, the Borel-Cantelli lemma, and the easier half of the law of the iterated logarithm) to right-continuous local martingales. An interesting technical point is the definition of a family of exponential supermartingales
Keywords: Law of large numbers,
Borel-Cantelli lemma,
Exponential martingales,
Law of the iterated logarithmNature: Original Retrieve article from Numdam
XII: 18, 162-169, LNM 649 (1978)
CAIROLI, Renzo
Une représentation intégrale pour les martingales fortes (
Several parameter processes)
This paper uses the results of Cairoli-Walsh,
Ann. Prob. 5, 1977, to prove a stochastic integral representation of the strong martingales of the Brownian sheet filtration, without assuming they are square integrable
Keywords: Strong martingales,
Brownian sheetNature: Original Retrieve article from Numdam
XII: 19, 170-179, LNM 649 (1978)
MÉTRAUX, C.
Quelques inégalités pour martingales à paramètre bidimensionnel (
Several parameter processes)
This paper extends to two-parameter discrete martingales the classical Burkholder inequalities ($1<p<\infty$) and a few more inequalities
Keywords: Burkholder inequalitiesNature: Original Retrieve article from Numdam
XII: 20, 180-264, LNM 649 (1978)
BISMUT, Jean-Michel
Contrôle des systèmes linéaires quadratiques~: applications de l'intégrale stochastique (
Control theory)
(To be completed) This is a set of lectures in control theory, which makes use of refined techniques in stochastic integration. It should be reviewed in detail
Comment: To be completed
Keywords: Optional stochastic integralsNature: Original Retrieve article from Numdam
XII: 21, 265-309, LNM 649 (1978)
YOR, Marc;
SAM LAZARO, José de
Sous-espaces denses dans $L^1$ ou $H^1$ et représentation des martingales (
Martingale theory)
This paper was a considerable step in the study of the general martingale problem, i.e., of the set ${\cal P}$ of all laws on a filtered measurable space under which a given set ${\cal N}$ of (adapted, right continuous) processes are local martingales. The starting point is a theorem from measure theory due to R.G. Douglas (
Michigan Math. J. 11, 1964), and the main technical difference with preceding papers is the systematic use of stochastic integration in $H^1$. The main result can be stated as follows: given a law $P\in{\cal P}$, the set ${\cal N}$ has the previsible representation property, i.e., ${\cal F}_0$ is trivial and stochastic integrals with respect to elements of ${\cal N}$ are dense in $H^1$, if and only if $P$ is an extreme point of ${\cal P}$. Many examples and applications are given
Comment: The second named author's contribution concerns only the appendix on homogeneous martingales
Keywords: Previsible representation,
Douglas theorem,
Extremal lawsNature: Original Retrieve article from Numdam
XII: 22, 310-331, LNM 649 (1978)
WILLIAMS, David
The Q-matrix problem 3: The Lévy-kernel problem for chains (
Markov processes)
After solving the Q-matrix problem in
1014, the author constructs here a Markov chain from a Q-matrix on a countable space $I$ which satisfies several desirable conditions. Among them, the following: though the process is defined on a (Ray) compactification of $I$, the Q-matrix should describe the full Lévy kernel. Otherwise stated, whenever the process jumps, it does so from a point of $I$ to a point of $I$. The construction is extremely delicate
Keywords: Markov chainsNature: Original Retrieve article from Numdam
XII: 23, 332-341, LNM 649 (1978)
BRETAGNOLLE, Jean;
HUBER, Catherine
Lois empiriques et distance de Prokhorov (
Mathematical statistics)
Let $F$ be a distribution function, and $F_n$ be the corresponding (random) empirical distribution functions. Let $d$ be a distance on the set of distribution functions. The problem is the speed of convergence of $F_n$ to $F$, i.e., to find the exponent $\alpha$ such that $P(n^{\alpha}d(F_n,F)>u)$ remains bounded and bounded away from $0$ for some $u>0$. The distance used is that of Prohorov, for which auxiliary results are proved. It is shown that the exponent lies between 1/3 and 1/2, the latter case being that of regular distribution functions, but the whole interval being possible for sufficiently singular ones
Keywords: Empirical distribution function,
Prohorov distanceNature: Original Retrieve article from Numdam
XII: 24, 342-363, LNM 649 (1978)
BRETAGNOLLE, Jean;
HUBER, Catherine
Estimation des densités~: risque minimax (
Mathematical statistics)
A sequel to the preceding paper
1223. The speed of convergence in the estimation of the density of a law $f$ from the observation of a sample is discussed
Comment: For a correction see
1360. An improved version appeared in (
Zeit. für W-theorie, 47, 1979)
Keywords: Empirical distribution functionNature: Original Retrieve article from Numdam
XII: 25, 364-377, LNM 649 (1978)
STRICKER, Christophe
Les ralentissements en théorie générale des processus (
General theory of processes)
Given a filtration $({\cal F}t)$ and a stopping time $T$, we may define a new filtration $({\cal G}_t)$ as follows: we introduce an independent random variable $S$, and in intuitive language, we run the picture of $({\cal F}_t)$ up to time $T$, freeze the image between times $T$ and $T+S$, and then start running it again. The main result of this paper is the possibility, by performing this at all the times of discontinuity of $({\cal F}_t)$, to construct a filtration $({\cal G}_t)$ which is quasi-left-continuous. Though the idea is simple, there are considerable technical difficulties
Nature: Original Retrieve article from Numdam
XII: 26, 378-397, LNM 649 (1978)
BROSSARD, Jean
Comportement non-tangentiel et comportement brownien des fonctions harmoniques dans un demi-espace. Démonstration probabiliste d'un théorème de Calderon et Stein (
Potential theory,
Real analysis)
Given a harmonic function $u$ in a half space, Stein (
Acta Math. 106, 1961) shows that the boundary points $x$ such that 1) $u$ has a non-tangential limit at $x$, 2) $u$ is ``non tangentially bounded'' near $x$, 3) $\nabla u$ is locally $L^2$ in the non-tangential cones at $x$, are the sames, except for sets of measure $0$. This result is given here a probabilistic proof using conditional Brownian motion
Keywords: Harmonic functions in a half-space,
Non-tangential limitsNature: Original Retrieve article from Numdam
XII: 27, 398-410, LNM 649 (1978)
GETOOR, Ronald K.
Homogeneous potentials (
General theory of processes)
This is a development in Knight's prediction theory as described in
1007,
1008. Let $(Z_t^\mu)$ be the prediction process associated with a given measure $\mu$. Then it is shown that a bounded homogeneous right continuous supermartingale (or potential) under $\mu$ remains so under the measures $Z_t^\mu$
Keywords: Prediction theoryNature: Original Retrieve article from Numdam
XII: 28, 411-423, LNM 649 (1978)
MEYER, Paul-André
Convergence faible et compacité des temps d'arrêt, d'après Baxter et Chacón (
General theory of processes)
Baxter and Chacón (
Zeit. für W-theorie, 40, 1977) introduced a topology on the sets of ``fuzzy'' times and of fuzzy stopping times which turn these sets into compact metrizable spaces---a fuzzy r.v. $T$ is a right continuous decreasing process $M_t$ with $M_{0-}=1$, $M_t(\omega)$ being interpreted for each $\omega$ as the distribution function $P_{\omega}\{T>t\}$. When this process is adapted the fuzzy r.v. is a fuzzy stopping time. A number of properties of this topology are investigated
Comment: See
1536 for an extension to Polish spaces
Keywords: Stopping times,
Fuzzy stopping timesNature: Exposition,
Original additions Retrieve article from Numdam
XII: 29, 424-424, LNM 649 (1978)
DELLACHERIE, Claude
Convergence en probabilité et topologie de Baxter-Chacón (
General theory of processes)
It is shown that on the set of ordinary stopping times, the Baxter-Chacón topology is simply convergence in probability
Keywords: Stopping timesNature: Original Retrieve article from Numdam
XII: 30, 425-427, LNM 649 (1978)
DELLACHERIE, Claude;
MEYER, Paul-André
Construction d'un processus prévisible ayant une valeur donnée en un temps d'arrêt (
General theory of processes)
Let $T$ be a stopping time, $X$ be an integrable r.v., and put $A_t=I_{\{t\ge T\}}$ and $B_t=XA_t$. Then the previsible compensator $(\tilde B_t)$ has a previsible density $Z_t$ with respect to $(\tilde A_t)$, whose value $Z_T$ at time $T$ is $E[X\,|\,{\cal F}_{T-}]$, and in particular if $X$ is ${\cal F}_T$-measurable it is equal to $X$
Keywords: Stopping timesNature: Original Retrieve article from Numdam
XII: 31, 428-445, LNM 649 (1978)
KNIGHT, Frank B.
On the sojourn times of killed Brownian motion (
Brownian motion)
To be completed
Keywords: Sojourn times,
Laplace transformsNature: Original Retrieve article from Numdam
XII: 32, 446-456, LNM 649 (1978)
TAYLOR, John C.
Some remarks on Malliavin's comparison lemma and related topics (
Diffusion theory)
The comparison lemma considered here gives estimates for the hitting probabilities of a several dimensional diffusion in terms of the hitting probabilities of a half line for suitably constructed one-dimensional diffusions. A self-contained proof is given
Keywords: Hitting probabilitiesNature: Original Retrieve article from Numdam
XII: 33, 457-467, LNM 649 (1978)
MAINGUENEAU, Marie Anne
Temps d'arrêt optimaux et théorie générale (
General theory of processes)
This is a general discussion of optimal stopping in continuous time. Fairly advanced tools like strong supermartingales, Mertens' decomposition are used
Comment: The subject is taken up in
1332Keywords: Optimal stopping,
Snell's envelopeNature: Original Retrieve article from Numdam
XII: 34, 468-481, LNM 649 (1978)
SAINT RAYMOND, Jean
Quelques remarques sur un article de Donsker et Varadhan (
Markov processes)
This paper is a partial exposition of the celebrated papers of Donsker and Varadhan in
Comm. Pure Appl. Math. 28, 1975 and 29, 1976, aiming at simplifying the proofs and weakening a few technical hypotheses
Keywords: Large deviationsNature: Exposition Retrieve article from Numdam
XII: 35, 482-488, LNM 649 (1978)
YOR, Marc;
MEYER, Paul-André
Sur l'extension d'un théorème de Doob à un noyau $\sigma$-fini, d'après G. Mokobodzki (
Measure theory)
Given a kernel $K(x,dy)$ consisting of probability measures, all of them absolutely continuous with respect to a measure $\mu$, Doob proved long ago using martingale theory that $K(x,dy)=k(x,y)\,\mu(dy)$ with a jointly measurable density $k(x,y)$. What happens if the measures $K(x,dy)$ are $\sigma$-finite? The answer is that Doob's result remains valid if $K$, considered as a mapping $x\mapsto K(x,\,.\,)$ taking values in the set of all $\sigma$-finite measures absolutely continuous w.r.t. $\mu$ (i.e., of classes of a.s. finite measurable functions), is Borel with respect to the topology of convergence in probability
Comment: The subject is discussed further in
1527. Note a mistake near the bottom of page 486: the $\sigma$-field on $E$ should be associated with the
weak topology of $L[\infty$, or with the topology of $L^0$
Keywords: Kernels,
Radon-Nikodym theoremNature: Original Retrieve article from Numdam
XII: 36, 489-490, LNM 649 (1978)
MOKOBODZKI, Gabriel
Domination d'une mesure par une capacité (
Measure theory)
A bounded measure $\mu$ is said to be dominated by a capacity $C$ (countably subadditive, continuous along increasing sequences; neither strong subadditivity nor decreasing sequences are mentioned) if all sets of capacity $0$ have also measure $0$. The main result then states that the space can be decomposed into a set $A_0$ of capacity $0$, and disjoint sets $A_n$ on each of which $\mu$ is smaller than a multiple of $C$
Keywords: Radon-Nikodym theorem,
CapacitiesNature: Original Retrieve article from Numdam
XII: 37, 491-508, LNM 649 (1978)
MOKOBODZKI, Gabriel
Ensembles à coupes dénombrables et capacités dominées par une mesure (
Measure theory,
General theory of processes)
Let $X$ be a compact metric space $\mu$ be a bounded measure. Let $F$ be a given Borel set in $X\times
R_+$. For $A\subset X$ define $C(A)$ as the outer measure of the projection on $X$ of $F\cap(A\times
R_+)$. Then it is proved that, if there is some measure $\lambda$ such that $\lambda$-null sets are $C$-null (the relation goes the reverse way from the preceding paper
1236!) then $F$ has ($\mu$-a.s.) countable sections, and if the property is strengthened to an $\epsilon-\delta$ ``absolute continuity'' relation, then $F$ has ($\mu$-a.s.) finite sections
Comment: This was a long-standing conjecture of Dellacherie (
707), suggested by the theory of semi-polar sets. For further development see
1602Keywords: Sets with countable sectionsNature: Original Retrieve article from Numdam
XII: 38, 509-511, LNM 649 (1978)
DELLACHERIE, Claude
Appendice à l'exposé de Mokobodzki (
Measure theory,
General theory of processes)
Some comments on
1237: a historical remark, a relation with a result of Talagrand, the inclusion of a converse (due to Horowitz) to the case of finite sections, and the solution to the conjecture from
707Keywords: Sets with countable sections,
Semi-polar setsNature: Original Retrieve article from Numdam
XII: 39, 512-514, LNM 649 (1978)
DELLACHERIE, Claude
Sur l'existence de certains ess.inf et ess.sup de familles de processus mesurables (
General theory of processes)
The word ``essential'' in the title refers to inequalities between processes up to evanescent sets. Since in the case of a probability space consisting of one point, this means inequalities everywhere, it is clear that additional assumptions are necessary. Such essential bounds are shown to exist whenever the sample functions are upper semicontinuous in the right topology, or the left topology (and of course also if they are lower semicontinuous). This covers in particular the case of strong supermartingales and Snell's envelopes
Keywords: Essential suprema,
Evanescent setsNature: Original Retrieve article from Numdam
XII: 40, 515-522, LNM 649 (1978)
DELLACHERIE, Claude
Supports optionnels et prévisibles d'une P-mesure et applications (
General theory of processes)
A $P$-measure is a measure on $\Omega\times
R_+$ which does not charge $P$-evanescent sets. A $P$-measure has optional and previsible projections which are themselves $P$-measures. As usual, supports are minimal sets carrying a measure, possessing different properties like being optional/previsible, being right/left closed. The purpose of the paper is to find out which kind of supports do exist. Applications are given to honest times
Comment: See
1339 for a complement concerning honest times
Keywords: Projection theorems,
Support,
Honest timesNature: Original Retrieve article from Numdam
XII: 41, 523-523, LNM 649 (1978)
DELLACHERIE, Claude
Erratum et addendum à ``les dérivations en théorie descriptive des ensembles et le théorème de la borne'' (
Descriptive set theory)
A few corrections to
1104Keywords: Derivations (set-theoretic),
Kunen-Martin theoremNature: Correction Retrieve article from Numdam
XII: 42, 524-563, LNM 649 (1978)
HILLARD, Gérard
Exemples de normes en théorie descriptive des ensembles (
Descriptive set theory)
The situations described in this paper are special cases of
1104, where a coanalytic set $A$ was represented as the union of an increasing family $A_{\alpha}$ of analytic sets indexed by the countable ordinals, such that every analytic subset of $A$ is contained in some $A_{\alpha}$. The hypotheses of
1104 are not easy to check: they are shown here to include the classical Cantor derivation on the coanalytic space of countable compact sets, and a new example on the coanalytic space of all right continuous functions
Comment: The whole subject has been exposed anew in Chapter XXIV of Dellacherie-Meyer,
Probabilités et PotentielKeywords: Derivations (set-theoretic),
Kunen-Martin theoremNature: Original Retrieve article from Numdam
XII: 43, 564-566, LNM 649 (1978)
DELLACHERIE, Claude;
MOKOBODZKI, Gabriel
Deux propriétés des ensembles minces (abstraits) (
Descriptive set theory)
Given a class ${\cal S}$ of Borel sets understood as ``small'' sets, the class ${\cal L}$ consisting of their conplements understood as ``large'' sets, a set $A$ is said to be ${\cal S}$-thin if does not contain uncountably many disjoint ``large'' sets. For instance, if ${\cal S}$ is the class of polar sets, then thin sets are the same as semi-polar sets. Two general theorems are proved here on thin sets
Keywords: Thin sets,
Semi-polar sets,
Essential supremaNature: Original Retrieve article from Numdam
XII: 44, 567-690, LNM 649 (1978)
NANOPOULOS, Constantin;
NOBELIS, Photis
Régularité et propriétés limites des fonctions aléatoires (
Miscellanea,
Gaussian processes)
This paper extends to the non-Gaussian case methods to study the regularity of sample paths which have proved useful in the Gaussian case, notably that of majorizing measures (to be completed)
Comment: To be completed
Keywords: Sample path regularity,
Majorizing measuresNature: Original Retrieve article from Numdam
XII: 45, 691-706, LNM 649 (1978)
FERNIQUE, Xavier
Caractérisation de processus à trajectoires majorées ou continues (
Miscellanea,
Gaussian processes)
The methods which lead the author to necessary and sufficient conditions for boundedness or continuity of stationary Gaussian processes are extended and applied to non-stationary Gaussian processes and non-Gaussian processes
Keywords: Sample path regularityNature: Original Retrieve article from Numdam
XII: 46, 707-738, LNM 649 (1978)
DELLACHERIE, Claude
Théorie unifiée des capacités et des ensembles analytiques (
Descriptive set theory)
A Choquet capacity takes one set as argument and produces a number. Along the years, one has considered multicapacities (which take as arguments finitely many sets) and capacitary operators (which produce sets instead of numbers). The essential result of this paper is that, if one allows functions of infinitely many arguments which produce sets, then the corresponding ``Choquet theorem'' gives all the classical results at a time, without need of an independent theory of analytic sets
Comment: For a more systematic exposition, see Chapter XI of Dellacherie-Meyer
Probabilités et PotentielKeywords: Capacities,
Analytic setsNature: Original Retrieve article from Numdam
XII: 47, 739-739, LNM 649 (1978)
CHUNG, Kai Lai
Correction to "Pedagogic Notes on the Barrier Theorem" (
Potential theory)
Corrects an error in
1103Keywords: Classical potential theory,
Barrier,
Regular pointsNature: Correction Retrieve article from Numdam
XII: 48, 739-739, LNM 649 (1978)
MEYER, Paul-André
Correction à ``Retour sur la représentation de $BMO$'' (
Martingale theory)
Two errors in
1131 are corrected
Keywords: Stochastic integrals,
$BMO$Nature: Correction Retrieve article from Numdam
XII: 49, 739-739, LNM 649 (1978)
MEYER, Paul-André
Correction à ``Caractérisation de $BMO$ par un opérateur maximal'' (
Martingale theory)
Corrects an error in
1131Keywords: Stochastic integrals,
$BMO$Nature: Correction Retrieve article from Numdam
XII: 50, 739-739, LNM 649 (1978)
LÉPINGLE, Dominique
Correction au Séminaire X (
Martingale theory)
Corrects a detail in
1018Keywords: Inequalities,
Angle bracket,
$BMO$Nature: Correction Retrieve article from Numdam
XII: 51, 740-740, LNM 649 (1978)
MEYER, Paul-André
Correction à ``Sur un théorème de C. Stricker'' (
Stochastic calculus)
Fills a gap in a proof in
1132Keywords: Stochastic integralsNature: Correction Retrieve article from Numdam
XII: 52, 740-740, LNM 649 (1978)
DELLACHERIE, Claude
Correction à ``Un crible généralisé'' (
Descriptive set theory)
Acknowledgement of priority and references concerning the result in
703Keywords: Analytic setsNature: Correction Retrieve article from Numdam
XII: 53, 741-741, LNM 649 (1978)
MEYER, Paul-André
Correction à ``Inégalités de Littlewood-Paley'' (
Applications of martingale theory,
Markov processes)
This is an erratum to
1010Keywords: Littlewood-Paley theory,
Carré du champ,
Infinitesimal generators,
Semigroup theoryNature: Correction Retrieve article from Numdam
XII: 54, 742-745, LNM 649 (1978)
DELLACHERIE, Claude
Quelques applications du lemme de Borel-Cantelli à la théorie des semimartingales (
Martingale theory,
Stochastic calculus)
The general idea is the following: many constructions relative to one single semimartingale---like finding a sequence of stopping times increasing to infinity which reduce a local martingale, finding a change of law which sends a given semimartingale into $H^1$ or $H^2$ (locally)---can be strengthened to handle at the same time countably many given semimartingales
Nature: Original Retrieve article from Numdam
XII: 55, 746-756, LNM 649 (1978)
DELLACHERIE, Claude
Quelques exemples familiers, en probabilités, d'ensembles analytiques non boréliens (
Descriptive set theory,
General theory of processes)
There is a tendency to consider that the naive, healthy probabilist should keep away from unnecessary abstraction, and in particular from analytic sets which are not Borel. This paper shows that such sets crop into probability theory in the most natural way. For instance, while the sample space of right-continuous paths with left limits is Borel, that of right-continuous paths without restriction on the left is coanalytic and non-Borel. Also, on the Borel sample space of right-continuous paths with left limits, the hitting time of a closed set is a function which is coanalytic and non-Borel
Keywords: Analytic setsNature: Original Retrieve article from Numdam
XII: 56, 757-762, LNM 649 (1978)
MEYER, Paul-André
Inégalités de normes pour les intégrales stochastiques (
Stochastic calculus)
Inequalities of the following kind were introduced by Émery: $$\|X.M\|_{H^p}\le c_p \| X\|_{S^p}\,\| M\|$$ where the left hand side is a stochastic integral of the previsible process $X$ w.r.t. the semimartingale $M$, $S^p$ is a supremum norm, and the norm $H^p$ for semimartingales takes into account the Hardy space norm for the martingale part and the $L^p$ norm of the total variation for the finite variation part. On the right hand side, Émery had used a norm called $H^{\infty}$. Here a weaker $BMO$-like norm for semimartingales is suggested
Keywords: Stochastic integrals,
Hardy spacesNature: Original Retrieve article from Numdam
XII: 57, 763-769, LNM 649 (1978)
MEYER, Paul-André
La formule d'Ito pour le mouvement brownien, d'après Brosamler (
Brownian motion,
Stochastic calculus)
This paper presents the results of a paper by Brosamler (
Trans. Amer. Math. Soc. 149, 1970) on the Ito formula $f(B_t)=...$ for $n$-dimensional Brownian motion, under the weakest possible assumptions: namely up to the first exit time from an open set $W$ and assuming only that $f$ is locally in $L^1$ in $W$, and its Laplacian in the sense of distributions is a measure in $W$
Keywords: Ito formulaNature: Exposition Retrieve article from Numdam
XII: 58, 770-774, LNM 649 (1978)
MEYER, Paul-André
Sur le lemme de La Vallée Poussin et un théorème de Bismut (
Measure theory,
General theory of processes)
Bismut proved that every optional process which belongs to the class (D) is the optional projection of a (non-adapted) process whose supremum is in $L^1$. This is given a more precise form, using the relation between uniform integrability and moderate Orlicz spaces
Keywords: Uniform integrability,
Class (D) processes,
Moderate convex functionsNature: Exposition,
Original additions Retrieve article from Numdam
XII: 59, 775-803, LNM 649 (1978)
MEYER, Paul-André
Martingales locales fonctionnelles additives (two talks) (
Markov processes)
The purpose of the paper is to specialize the standard theory of Hardy spaces of martingales to the subspaces of additive martingales of a Markov process. The theory is not complete: the dual of (additive) $H^1$ seems to be different from (additive) $BMO$
Keywords: Hardy spaces,
Additive functionalsNature: Original Retrieve article from Numdam
XII: 60, 804-805, LNM 649 (1978)
LETTA, Giorgio
Un système de notations pour les processus de Markov (
Markov processes)
Instead of notations like $X_T$, $\Theta_T$, etc, the author suggests to use kernel notations---for instance, $X^T$ is the submarkovian kernel $f\mapsto f\circ X_T$ ($0$ on $\{T=\infty\}$). Then the main properties of Markov processes are expressed by simple kernel equalities
Nature: Original Retrieve article from Numdam
