A note on a paper by Wong and Heyde
Aleksandar Mijatovi\'c, Mikhail Urusov
TL;DR
This paper critically re-examines Wong and Heyde's analysis of stochastic exponentials, presenting counterexamples and discussing alternative formulations to clarify the martingale property.
Contribution
It provides new counterexamples and alternative perspectives on the martingale property of stochastic exponentials, refining previous theoretical understanding.
Findings
Counterexamples challenge existing assumptions
Alternative formulations offer new insights
Clarification of martingale conditions
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.
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