Journal of Applied Probability

A note on a paper by Wong and Heyde

Aleksandar Mijatović and Mikhail Urusov

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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.

Article information

J. Appl. Probab., Volume 48, Number 3 (2011), 811-819.

First available in Project Euclid: 23 September 2011

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60G44: Martingales with continuous parameter 60G48: Generalizations of martingales 60H10: Stochastic ordinary differential equations [See also 34F05] 60J60: Diffusion processes [See also 58J65]

Local martingales versus true martingales stochastic exponential


Mijatović, Aleksandar; Urusov, Mikhail. A note on a paper by Wong and Heyde. J. Appl. Probab. 48 (2011), no. 3, 811--819. doi:10.1239/jap/1316796916.

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