A counterexample to a martingale characterization of a Wiener process

We show that a Wiener process is not characterized by a martingale and a reverse martingale property of some linear and quadratic transformations of the process.

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Year of publication:	1992
Authors:	Wise, Gary L.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 15.1992, 5, p. 337-338
Publisher:	Elsevier
Keywords:	Wiener process martingale reverse martingale counterexample

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223459