A Note on a Paper by Wong and Heyde

DOI10.1239/JAP/1316796916zbMATH Open1237.60033arXiv1105.3918OpenAlexW2046693628MaRDI QIDQ3094694FDOQ3094694

Mikhail Urusov, Aleksandar Mijatović

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1105.3918

zbMATH Keywords

stochastic exponentiallocal martingales versus true martingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• On the martingale property of certain local martingales
• On the martingale property of stochastic exponentials
• Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models

Cited In (4)

• Title not available (Why is that?)
• A note on a paper by Cuadra, Etingof and Walton
• Note on a paper by Bordellès, Dai, Heyman, Pan and Shparlinski
• A note on Nasr's and Wong's papers.

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