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.
Citation
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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