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math.PR2011
Convergence of Integral Functionals of One-Dimensional Diffusions
Aleksandar Mijatović, Mikhail Urusov
In this expository paper we describe the pathwise behaviour of the integral functional $\int_0^t f(Y_u)\,\dd u$ for any , where is (a possibly infinite) exit time of…
math.PR2011★ 6 cited
A note on a paper by Wong and Heyde
Aleksandar Mijatović, Mikhail Urusov
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):654-66…