A note on a paper by Wong and Heyde

Aleksandar Mijatovi\'c and 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.

Date: 2011-05
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Citations: View citations in EconPapers (2)

Published in J. Appl. Probab. 48 (2011) 811-819

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1105.3918

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