A note on a paper by Wong and Heyde

Mathematics – Probability

Scientific paper

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To appear in Journal of Applied Probability, 11 pages

Scientific paper

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.

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