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A note on a paper by Wong and Heyde

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  • Aleksandar Mijatovi'c
  • Mikhail Urusov

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.

Suggested Citation

  • Aleksandar Mijatovi'c & Mikhail Urusov, 2011. "A note on a paper by Wong and Heyde," Papers 1105.3918, arXiv.org.
    • Handle: RePEc:arx:papers:1105.3918
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    File URL: http://arxiv.org/pdf/1105.3918
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    References listed on IDEAS

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    1. Aleksandar Mijatovic & Mikhail Urusov, 2009. "On the Martingale Property of Certain Local Martingales," Papers 0905.3701, arXiv.org, revised Oct 2010.
    2. Aleksandar Mijatovi'c & Mikhail Urusov, 2010. "Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models," Papers 1005.1861, arXiv.org.
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    Cited by:

    1. Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010. "Valuation equations for stochastic volatility models," Papers 1004.3299, arXiv.org, revised Dec 2011.
    2. Ruf, Johannes, 2013. "A new proof for the conditions of Novikov and Kazamaki," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 404-421.

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