A note on a paper by Wong and Heyde

Aleksandar Mijatović; Mikhail Urusov

doi:10.1239/jap/1316796916

Abstract

In this note we re-examine the analysis of the paper `On the martingale property of stochastic exponentials' by Wong and Heyde (2004). Some counterexamples are presented and alternative formulations are discussed.

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Aleksandar Mijatović. Mikhail Urusov. "A note on a paper by Wong and Heyde." J. Appl. Probab. 48 (3) 811 - 819, September 2011. https://doi.org/10.1239/jap/1316796916

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Published: September 2011

First available in Project Euclid: 23 September 2011

zbMATH: 1237.60033

MathSciNet: MR2884817

Digital Object Identifier: 10.1239/jap/1316796916

Subjects:

Primary: 60G44 , 60G48 , 60H10 , 60J60

Keywords: Local martingales versus true martingales , stochastic exponential

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