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arXiv · 1105.3918

A note on a paper by Wong and Heyde

Aleksandar Mijatović·Mikhail Urusov
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Abstract

In this note we re-examine the analysis of the paper "On the martingale property of stochastic exponentials" by B. Wong and C.C. Heyde, Journal of Applied Probability, 41(3):654-664, 2004. Some counterexamples are presented and alternative formulations are discussed.

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Aleksandar Mijatović, Mikhail Urusov. 2011-05-19. A note on a paper by Wong and Heyde. https://doi.org/10.1239/jap/1316796916

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