A counterexample to a martingale characterization of a Wiener process

Gary L. Wise

Statistics & Probability Letters, 1992, vol. 15, issue 5, 337-338

Abstract: We show that a Wiener process is not characterized by a martingale and a reverse martingale property of some linear and quadratic transformations of the process.

Keywords: Wiener; process; martingale; reverse; martingale; counterexample (search for similar items in EconPapers)
Date: 1992
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