A note on a paper by Wong and Heyde
Probability
2019-07-10 v1 General Finance
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.
Keywords
Cite
@article{arxiv.1105.3918,
title = {A note on a paper by Wong and Heyde},
author = {Aleksandar Mijatović and Mikhail Urusov},
journal= {arXiv preprint arXiv:1105.3918},
year = {2019}
}
Comments
To appear in Journal of Applied Probability, 11 pages