# Elsevier

# Stochastic Processes and their Applications

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### 2000, Volume 90, Issue 2

**335-346 The characteristic polynomial of a random permutation matrix***by*Hambly, B. M. & Keevash, P. & O'Connell, N. & Stark, D.

### 2000, Volume 90, Issue 1

**1-18 Boundary crossings and the distribution function of the maximum of Brownian sheet***by*Csáki, Endre & Khoshnevisan, Davar & Shi, Zhan**19-42 A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market***by*Mania, M.**43-66 An infinite system of Brownian balls with infinite range interaction***by*Fradon, Myriam & Roelly, Sylvie & Tanemura, Hideki**67-81 Convergence to the maximal invariant measure for a zero-range process with random rates***by*Andjel, E. D. & Ferrari, P. A. & Guiol, H. & Landim *, C.**83-108 On Lp-solutions of semilinear stochastic partial differential equations***by*Gyöngy, István & Rovira, Carles**109-122 Chaotic and predictable representations for Lévy processes***by*Nualart, David & Schoutens, Wim**123-144 Multiplicative ergodicity and large deviations for an irreducible Markov chain***by*Balaji, S. & Meyn, S. P.**145-156 Suprema of compound Poisson processes with light tails***by*Braverman, Michael**157-174 Convergence of weighted sums of random variables with long-range dependence***by*Pipiras, Vladas & Taqqu, Murad S.**175-180 The expected wet period of finite dam with exponential inputs***by*Lee, Eui Yong & Kinateder, Kimberly K. J.

### 2000, Volume 89, Issue 2

**175-191 Empirical law of the iterated logarithm for Markov chains with a countable state space***by*Tsai, Tsung-Hsi**193-211 Uniform iterated logarithm laws for martingales and their application to functional estimation in controlled Markov chains***by*Senoussi, R.**213-226 Yang-Mills fields and stochastic parallel transport in small geodesic balls***by*Bauer, Robert Otto**227-237 Absolute continuity of catalytic measure-valued branching processes***by*Klenke, Achim**239-260 Reflecting Brownian snake and a Neumann-Dirichlet problem***by*Abraham, Romain**261-268 Diffusive clustering of interacting Brownian motions on***by*Klenke, Achim**269-285 Capacitary moduli for Lévy processes and intersections***by*Rosen, Jay**287-303 Asymptotic behaviour of Gaussian processes with integral representation***by*Garet, Olivier**305-313 Non-coincidence probabilities and the time-dependent behavior of tandem queues with deterministic input***by*Böhm, W.**315-331 Measurements of ordinary and stochastic differential equations***by*Ubøe, Jan**333-354 Entropic repulsion for massless fields***by*Deuschel, Jean-Dominique & Giacomin, Giambattista

### 2000, Volume 89, Issue 1

**1-30 Support theorem for jump processes***by*Simon, Thomas**31-48 Optimal portfolios for logarithmic utility***by*Goll, Thomas & Kallsen, Jan**49-68 Characterization of stochastic processes which stabilize linear companion form systems***by*Kao, John & Wihstutz, Volker**69-79 On large deviations for SDEs with small diffusion and averaging***by*Veretennikov, A. Yu.**81-99 Probabilistic approximation for a porous medium equation***by*Jourdain, B.**101-116 Martingale representation theorems for initially enlarged filtrations***by*Amendinger, Jürgen**117-130 The Markov approximation of the sequences of N-valued random variables and a class of small deviation theorems***by*Liu, Wen & Yang, Weiguo**131-139 A test for randomness against ARMA alternatives***by*Dette, Holger & Spreckelsen, Ingrid**141-173 Rare events for stationary processes***by*Baccelli, F. & McDonald, D. R.

### 2000, Volume 88, Issue 2

**177-193 Existence, recurrence and equilibrium properties of Markov branching processes with instantaneous immigration***by*Chen, Anyue & Renshaw, Eric**195-211 On stationary solutions of delay differential equations driven by a Lévy process***by*Gushchin, Alexander A. & Küchler, Uwe**213-224 On a weighted embedding for generalized pontograms***by*Zhang, Hanqin**225-243 On the volume of the supercritical super-Brownian sausage conditioned on survival***by*Engländer, János**245-258 Multifractal structure of a general subordinator***by*Hu, Xiaoyu & Taylor, S. James**259-290 Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions***by*Peng, Shige**291-304 Entropy inequalities and the Central Limit Theorem***by*Johnson, Oliver**305-328 Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints***by*Touzi, Nizar**329-345 Strong approximation of spatial random walk in random scenery***by*Révész, Pál & Shi, Zhan

### 2000, Volume 88, Issue 1

**1-36 A possible definition of a stationary tangent***by*Keich, U.**37-58 Extinction properties of super-Brownian motions with additional spatially dependent mass production***by*Engländer, János & Fleischmann, Klaus**59-78 Urn schemes and reinforced random walks***by*Muliere, P. & Secchi, P. & Walker, S. G.**79-124 Phase segregation dynamics for the Blume-Capel model with Kac interaction***by*Marra, R. & Mourragui, M.**125-134 Projection scheme for stochastic differential equations with convex constraints***by*Pettersson, Roger**135-159 Distributional limit theorems over a stationary Gaussian sequence of random vectors***by*Arcones, Miguel A.**161-174 A class of spatially inhomogeneous Dirichlet spaces on the p-adic number field***by*Kaneko, Hiroshi

### 2000, Volume 87, Issue 2

**167-197 Weak approximation of killed diffusion using Euler schemes***by*Gobet, Emmanuel**199-234 Extremes and upcrossing intensities for P-differentiable stationary processes***by*Albin, J. M. P.**235-254 Population-size-dependent and age-dependent branching processes***by*Jagers, Peter & Klebaner, Fima C.**255-279 Moderate deviations for degenerate U-processes***by*Eichelsbacher, Peter**281-297 Equivalence of exponential ergodicity and L2-exponential convergence for Markov chains***by*Chen, Mu-Fa**299-309 On the central limit theorem for negatively correlated random variables with negatively correlated squares***by*Pruss, Alexander R. & Szynal, Dominik**311-337 Observation sampling and quantisation for continuous-time estimators***by*Newton, Nigel J.

### 2000, Volume 87, Issue 1

**1-23 Applications of geometric bounds to the convergence rate of Markov chains on***by*Yuen, Wai Kong**25-52 Non-degenerate conditionings of the exit measures of super Brownian motion***by*Salisbury, Thomas S. & Verzani, John**53-67 Poisson equation, moment inequalities and quick convergence for Markov random walks***by*Fuh, Cheng-Der & Zhang, Cun-Hui**69-91 Smoothness of harmonic functions for processes with jumps***by*Picard, Jean & Savona, Catherine**93-106 Forward-backward stochastic differential equations with nonsmooth coefficients***by*Hu, Ying & Yong, Jiongmin**107-113 A note on wetting transition for gradient fields***by*Caputo, P. & Velenik, Y.**115-147 Malliavin calculus for parabolic SPDEs with jumps***by*Fournier, Nicolas**149-165 Removing logarithms from Poisson process error bounds***by*Brown, Timothy C. & Weinberg, Graham V. & Xia, Aihua

### 2000, Volume 86, Issue 2

**177-182 Stochastic integral representation and properties of the wavelet coefficients of linear fractional stable motion***by*Delbeke, Lieve & Abry, Patrice**183-191 Inhomogeneous birth-death and birth-death-immigration processes and the logarithmic series distribution. Part 2***by*Branson, David**193-216 A Moran particle system approximation of Feynman-Kac formulae***by*Moral, P. Del & Miclo, L.**217-230 Pairs of renewal processes whose superposition is a renewal process***by*Ferreira, J. A.**231-261 The loop erased exit path and the metastability of a biased vote process***by*Catoni, Olivier & Chen, Dayue & Xie, Jun**263-286 On generalized multiplicative cascades***by*Liu, Quansheng**287-305 Ray-Knight theorems related to a stochastic flow***by*Hu, Yueyun & Warren, Jon**307-322 Maxima of increments of partial sums for certain subexponential distributions***by*Lanzinger, H. & Stadtmüller, U.**323-343 Singular stochastic control in the presence of a state-dependent yield structure***by*Alvarez, Luis H. R.

### 2000, Volume 86, Issue 1

**1-27 Nonlinearly perturbed regenerative processes and pseudo-stationary phenomena for stochastic systems***by*Gyllenberg, Mats & Silvestrov, Dmitrii S.**29-47 A statistically and computationally efficient method for frequency estimation***by*Song, Kai-Sheng & Li, Ta-Hsin**49-79 The periodogram at the Fourier frequencies***by*Kokoszka, Piotr & Mikosch, Thomas**81-101 Tightness of localization and return time in random environment***by*Hu, Yueyun**103-120 Weak convergence of multivariate fractional processes***by*Marinucci, D. & Robinson, P. M.**121-139 Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than***by*Alòs, Elisa & Mazet, Olivier & Nualart, David**141-162 On a stochastic wave equation in two space dimensions: regularity of the solution and its density***by*Millet, Annie & Morien, Pierre-Luc**163-176 Rate of convergence of power-weighted Euclidean minimal spanning trees***by*Lee, Sungchul

### 2000, Volume 85, Issue 2

**177-188 Reflected BSDEs and mixed game problem***by*Hamadène, S. & Lepeltier, J. -P.**189-207 Extremal behavior of the autoregressive process with ARCH(1) errors***by*Borkovec, Milan**209-223 Conditional maximal distributions of processes related to higher-order heat-type equations***by*Beghin, Luisa & Hochberg, Kenneth J. & Orsingher, Enzo**225-235 Large deviations for Brownian motion on the Sierpinski gasket***by*Arous, Gerard Ben & Kumagai, Takashi**237-247 Renewal equation on the whole line***by*Yengibarian, Norair B.**249-254 Embedding in Brownian motion with drift and the Azéma-Yor construction***by*Grandits, Peter & Falkner, Neil**255-277 Invariance principles for sums of extreme sequential order statistics attracted to Lévy processes***by*Janssen, Arnold**279-293 Large deviations for martingales via Cramér's method***by*Grama, Ion & Haeusler, Erich**295-320 Central limit theorems for k-nearest neighbour distances***by*Penrose, Mathew D.**321-339 Growth rates of sample covariances of stationary symmetric [alpha]-stable processes associated with null recurrent Markov chains***by*Resnick, Sidney & Samorodnitsky, Gennady & Xue, Fang**341-361 Geometric ergodicity of Metropolis algorithms***by*Jarner, Søren Fiig & Hansen, Ernst

### 2000, Volume 85, Issue 1

**1-17 Almost sure behaviour of the perturbed Brownian motion on the Sierpinski gasket***by*Pietruska-Paluba, Katarzyna**19-28 Exact packing measure on a Galton-Watson tree***by*Liu, Quansheng**29-44 On Bahadur asymptotic efficiency of the maximum likelihood and quasi-maximum likelihood estimators in Gaussian stationary processes***by*Kakizawa, Yoshihide**45-60 On exponentials of additive functionals of Markov processes***by*Stummer, W. & Sturm, K. -Th.**61-74 Some calculations for doubly perturbed Brownian motion***by*Chaumont, L. & Doney, R. A.**75-92 Infinite horizon forward-backward stochastic differential equations***by*Peng, Shige & Shi, Yufeng**93-121 Large deviations for Poisson random measures and processes with independent increments***by*Léonard, C.**123-138 Asymptotics for weighted minimal spanning trees on random points***by*Yukich, J. E.**139-158 Equilibrium fluctuations for a driven tracer particle dynamics***by*Landim, Cláudio & Volchan, Sérgio B.**159-176 On the integral of the squared periodogram***by*Deo, Rohit S. & Chen, Willa W.

### 1999, Volume 84, Issue 2

**177-186 A quasi-ergodic theorem for evanescent processes***by*Breyer, L. A. & Roberts, G. O.**187-225 Martingale solutions and invariant measures for stochastic evolution equations in Banach spaces***by*Brzezniak, Zdzislaw & Gatarek, Dariusz**227-253 Hydrodynamic limit for a nongradient system in infinite volume***by*Perrut, Anne**255-296 Large deviations and queueing networks: Methods for rate function identification***by*Atar, Rami & Dupuis, Paul**297-312 Hydrodynamic behavior of symmetric zero-range processes with random rates***by*Koukkous, A.**313-342 A new weak dependence condition and applications to moment inequalities***by*Doukhan, Paul & Louhichi, Sana**343-355 Sequential point estimation of parameters in a threshold AR(1) model***by*Lee, Sangyeol & Sriram, T. N.**357-369 Stationary and self-similar processes driven by Lévy processes***by*Barndorff-Nielsen, Ole E. & Pérez-Abreu, Victor

### 1999, Volume 84, Issue 1

**1-24 Invariant measures for generalized Langevin equations in conuclear space***by*Bojdecki, Tomasz & Jakubowski, Jacek**25-51 The quasi-stationary distribution for small random perturbations of certain one-dimensional maps***by*Ramanan, Kavita & Zeitouni, Ofer**53-70 Large deviations for a Burgers'-type SPDE***by*Cardon-Weber, Caroline**71-80 Spectral decomposition for operator self-similar processes and their generalized domains of attraction***by*Meerschaert, Mark M. & Scheffler, Hans-Peter**81-90 Bootstrapping point processes with some applications***by*Zarepour, M. & Knight, K.**91-114 Non-Gaussian scenarios for the heat equation with singular initial conditions***by*Anh, V. V. & Leonenko, N. N.**115-135 Probabilistic Interpretation and Numerical Approximation of a Kac Equation without Cutoff***by*Desvillettes, Laurent & Graham, Carl & Méléard, Sylvie**137-164 Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading***by*Föllmer, Hans & Wu, Ching-Tang & Yor, Marc**165-176 A Gaussian-generalized inverse Gaussian finite-dimensional filter***by*Ferrante, Marco & Vidoni, Paolo

### 1999, Volume 83, Issue 2

**257-271 Extremes of a certain class of Gaussian processes***by*Hüsler, J. & Piterbarg, V.**273-288 Asymptotics for Voronoi tessellations on random samples***by*McGivney, K. & Yukich, J. E.**289-301 On exponential stability criteria of stochastic partial differential equations***by*Caraballo, Tomás & Liu, Kai**303-317 Existence and pathwise uniqueness of solutions for stochastic differential equations with respect to martingales in the plane***by*Liang, Zongxia**319-330 On the ruin probabilities in a general economic environment***by*Nyrhinen, Harri**331-356 Risk and duality in multidimensions***by*Blaszczyszyn, Bartlomiej & Sigman, Karl**357-400 Multi-type branching in varying environment***by*Biggins, J. D. & Cohn, H. & Nerman, O.

### 1999, Volume 83, Issue 1

**1-14 The sample ACF of a simple bilinear process***by*Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas**15-37 Differentiability of Markov semigroups for stochastic reaction-diffusion equations and applications to control***by*Cerrai, Sandra**39-59 Asymptotics and spectral results for random walks on p-adics***by*Albeverio, Sergio & Karwowski, Witold & Zhao, Xuelei**61-77 On local asymptotic normality for birth and death on a flow***by*Höpfner, R. & Löcherbach, E.**79-102 Detection of multiple changes in a sequence of dependent variables***by*Lavielle, Marc**103-126 Particle representations for a class of nonlinear SPDEs***by*Kurtz, Thomas G. & Xiong, Jie**127-138 Speed of -convergence for Markov approximations of chains with complete connections. A coupling approach***by*Bressaud, Xavier & Fernández, Roberto & Galves, Antonio**139-148 The law of the iterated logarithm for negatively associated random variables***by*Shao, Qi-Man & Su, Chun**149-169 Innovations algorithm for periodically stationary time series***by*Anderson, Paul L. & Meerschaert, Mark M. & Vecchia, Aldo V.**171-186 Optimal singular control strategies for controlling a process to a goal***by*McBeth, Douglas W. & Weerasinghe, Ananda P. N.**187-209 Two-parameter Bessel processes***by*Hirsch, Francis & Song, Shiqi**211-236 Some dichotomy results for functionals of Harris recurrent Markov chains***by*Chen, Xia**237-255 Sharp asymptotics for the multidimensional KPP equation***by*Cohen, Serge & Rossignol, Stéphane

### 1999, Volume 82, Issue 2

**157-171 Strata of random mappings - A combinatorial approach***by*Drmota, Michael & Gittenberger, Bernhard**173-193 Local linear regression estimation for time series with long-range dependence***by*Masry, Elias & Mielniczuk, Jan**195-204 Asymptotically invariant sampling and averaging from stationary-like processes***by*Kallenberg, Olav**205-227 Signed Poisson approximations for Markov chains***by*Cekanavicius, V. & Mikalauskas, M.**229-244 Some limit theorems for fractional Lévy Brownian fields***by*Lin, Zheng Yan & Choi, Yong-Kab**245-257 Exponential stability in discrete-time filtering for non-ergodic signals***by*Budhiraja, A. & Ocone, D.**259-282 Comparison of systems of stochastic partial differential equations***by*Assing, Sigurd**283-292 An embedding for the Kesten-Spitzer random walk in random scenery***by*Csáki, Endre & König, Wolfgang & Shi, Zhan**293-305 Quadratic variation for Gaussian processes and application to time deformation***by*Perrin, Olivier**307-333 Stability of nonlinear AR(1) time series with delay***by*Cline, Daren B. H. & Pu, Huay-min H.**335-338 Corrigendum to "Stability in of martingales and backward equations under discretization of filtration": [Stochastic Processes and their Applications 75 (1998) 235-248]***by*Coquet, François & Mackevicius, Vigirdas & Mémin, Jean

### 1999, Volume 82, Issue 1

**1-14 A note on branching Lévy processes***by*Kyprianou, A. E.**15-21 On tail probability of local times of Gaussian processes***by*Kasahara, Y. & Kôno, N. & Ogawa, T.**23-52 A comparison of homogenization and large deviations, with applications to wavefront propagation***by*Freidlin, Mark I. & Sowers, Richard B.**53-60 Singular-values of matrix-valued Ornstein-Uhlenbeck processes***by*Le, Huiling**61-87 Asymptotic properties of supercritical age-dependent branching processes and homogeneous branching random walks***by*Liu, Quansheng**89-125 Compound Poisson approximation in total variation***by*Barbour, A. D. & Utev, Sergey**127-142 Point processes with finite-dimensional conditional probabilities***by*Asmussen, Søren & Bladt, Mogens**143-155 Moment conditions for a sequence with negative drift to be uniformly bounded in Lr***by*Pemantle, Robin & Rosenthal, Jeffrey S.

### 1999, Volume 81, Issue 2

**155-164 Transforming spatial point processes into Poisson processes***by*Schoenberg, Frederic**165-216 Martingale problems for large deviations of Markov processes***by*Feng, Jin**217-230 Limit theorem for the statistical solution of Burgers equation***by*Dermoune, A. & Hamadène, S. & Ouknine, Y.**231-246 Rosenthal's inequality for point process martingales***by*Wood, Andrew T. A.**247-254 Robustness of the nonlinear filter***by*Bhatt, Abhay G. & Kallianpur, G. & Karandikar, Rajeeva L.**255-269 Ruin problems with assets and liabilities of diffusion type***by*Norberg, Ragnar**271-298 Self-intersection local time of an -valued process involving motions of two types***by*Gorostiza, Luis G. & Todorova, Ekaterina**299-321 Differentiability of functionals of Poisson processes via coupling with applications to queueing theory***by*Baccelli, François & Hasenfuss, Sven & Schmidt, Volker**323-336 On functional limit theorems for solutions of stochastic equations***by*Makhno, Sergey Ya.**337-349 On the truncated anisotropic long-range percolation on***by*Sidoravicius, V. & Surgailis, D. & Vares, M. E.

### 1999, Volume 81, Issue 1

**1-24 Small random perturbation of a classical mean field model***by*Toubol, Alain**25-38 Designing options given the risk: the optimal Skorokhod-embedding problem***by*Peskir, Goran**39-72 Large deviations for a stochastic Volterra-type equation in the Besov-Orlicz space***by*Djehiche, Boualem & Eddahbi, M'hamed**73-79 Spatial perturbations of one-dimensional spin systems***by*Handjani, Shirin J.**81-101 Convergence of weighted partial sums when the limiting distribution is not necessarily Radon***by*Csörgo, Miklós & Norvaisa, Rimas & Szyszkowicz, Barbara**103-128 Gaussian limit theorems for diffusion processes and an application***by*Conlon, Joseph G. & Song, Renming**129-153 How many probes are needed to compute the maximum of a random walk?***by*Chassaing, Philippe

### 1999, Volume 80, Issue 2

**129-155 Rate of convergence of a convolution-type estimator of the marginal density of a MA(1) process***by*Saavedra, Ángeles & Cao, Ricardo**157-176 Moderate deviations for randomly perturbed dynamical systems***by*Klebaner, F. C. & Liptser, R.**177-191 A martingale approach for detecting the drift of a Wiener process***by*Paulsen, Volkert**193-209 Stability for multidimensional jump-diffusion processes***by*Wee, In-Suk**211-229 Bounds on regeneration times and convergence rates for Markov chains***by*Roberts, G. O. & Tweedie, R. L.**231-248 First passage time for some stationary processes***by*Haiman, George**249-269 Multifractal analysis of the occupation measures of a kind of stochastic processes***by*Hu, Xiaoyu

### 1999, Volume 80, Issue 1

**1-24 Variance-type estimation of long memory***by*Giraitis, Liudas & Robinson, Peter M. & Surgailis, Donatas**25-53 Self-collisions of superprocesses: renormalization and limit theorems***by*Rosen, Jay**55-86 Speed of convergence to equilibrium and to normality for diffusions with multiple periodic scales***by*Bhattacharya, Rabi & Denker, Manfred & Goswami, Alok**87-101 Asymptotic theorems for urn models with nonhomogeneous generating matrices***by*Bai, Z. D. & Hu, Feifang**103-128 Two limit theorems for queueing systems around the convergence of stochastic integrals with respect to renewal processes***by*Yamada, Keigo

### 1999, Volume 79, Issue 2

**179-184 Stabilization of partial differential equations by noise***by*Kwiecinska, Anna A.**185-212 Extremes of totally skewed [alpha]-stable processes***by*Albin, J. M. P.**213-227 On the regularity of spectral densities of continuous-time completely linearly regular processes***by*Murua, Alejandro**229-242 Large deviations formalism for multifractals***by*Zohar, Gady**243-263 Convergence rate of some semi-groups to their invariant probability***by*Ganidis, H. & Roynette, B. & Simonot, F.**265-286 Sampling at subexponential times, with queueing applications***by*Asmussen, Søren & Klüppelberg, Claudia & Sigman, Karl**287-300 A complex scaling approach to sequential Feynman integrals***by*Luo, S. L. & Yan, J. A.**301-321 Logarithmic estimates for the density of an anticipating stochastic differential equation***by*Sanz-Solé, Marta & Sarrà, Mònica**323-333 An identity in law involving reflecting Brownian motion, derived from generalized arc-sine laws for perturbed Brownian motions***by*Carmona, Philippe & Petit, Frédérique & Yor, Marc**335-354 The random cluster model on a general graph and a phase transition characterization of nonamenability***by*Jonasson, Johan

### 1999, Volume 79, Issue 1

**1-15 Almost Gibbsian versus weakly Gibbsian measures***by*Maes, C. & Redig, F. & Moffaert, A. Van & Leuven, K. U.**17-43 Time and Palm stationarity of repairable systems***by*Last, Günter & Szekli, Ryszard**45-67 Stability of stochastic differential equations with Markovian switching***by*Mao, Xuerong**69-94 Spectral asymptotics of some functionals arising in statistical inference for SPDEs***by*Lototsky, Sergey V. & Rosovskii, Boris L.**95-107 Brownian motion on the Wiener sphere and the infinite-dimensional Ornstein-Uhlenbeck process***by*Cutland, Nigel J.