A note on a paper by Wong and Heyde
arXiv:1105.3918 · 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 B. Wong and C.C. Heyde, Journal of Applied Probability, 41(3):654-664, 2004. Some counterexamples are presented and alternative formulations are discussed.
To appear in Journal of Applied Probability, 11 pages