Why can we see white objects as white under the sun if the sunlight is yellow? I get that the sun is producing white light which is scattered threw our atmosphere so that the light of the sun reaching our eyes is yellow.
So how come if I look to a piece of white paper under sunlight or a cloud in the sky, I see it white ?
I guess that the missing wavelengths may be reflected also by the sky and recombine to white on my eyes, but I'm not convinced. Would that white piece of paper appear the same on sunlight in space ?
 A: 
I get that the sun is producing white light which is scattered threw our atmosphere so that the light of the sun reaching our eyes is yellow.

Not very much.  When the sun is high in the sky, most would describe the light as "white", not "yellow".  That would be more true for a sun low to the horizon.

So how come if I look to a piece of white paper under sunlight or a cloud in the sky, I see it white ?

The human visual system does not have a fixed mapping from input wavelengths to color perception.  There are many types of "filters" in place between the two.  In particular, we have an automatic "white balance" system.  When you walk from a room with a single incandescent light to outside, the light hitting your clothes is very different, but you will still identify (mostly) the same colors in both places.
This system isn't foolproof, but works very well for most lighting systems you find.  
A: When the sunlight is colored, for example by the atmosphere, the "white" surface has to be slightly colored with the complementary color to looks like white or light gray.
A: 
I get that the sun is producing white light which is scattered threw our atmosphere so that the light of the sun reaching our eyes is yellow.

See the sun is producing a spectrum of electromagnetic waves, the characteristics of which depends on the Surface temperature of the Sun. Moreover you can observe from the spectrum that the emitted light's intensity is not same at all the wavelengths. The intensity is maximum near the yellow light.
Now if you see the sky (not the Sun) from the ground then you will see the sky as blue, as blue light gets scattered ( bent) the most according to $1/\lambda^4$. Others electromagnetic waves which has higher wavelength doesn't get bent that much to enter your eyes. That is why you see the sky as Blue. 
But that is the story when you see the sky. But what happens when you directly look at the sun ? The various electromagnetic waves, before entering your eye,  are passing through the atmosphere and hence the blue light will be bent away most during the passage, but the other waves will not be bent that much. As a result, you will see the sun yellowish-red. The same things happens when you see the white piece of paper, you see little yellowish-red light when observed directly in the sunlight.
I would suggest you to read these questions too get more idea about scattering
