To make a link in a comment you can use the `[text](url)` syntax. (And, of course, you can use simply bare URL - but I assume you want something nicer. Having some description of a link is useful for the users reading the comment, too.) The same syntax is *possible* in posts. (Although in posts there are other possibilities how to use links. Moreover, when composing or editing a post, you can insert a link using the built-in editor.)

For example, the following syntax works both in a post and in comments:

`Link to a question on meta: [Hyperlink in a comment?](https://meta.mathoverflow.net/q/5410) This looks probably slightly better than a bare URL: https://meta.mathoverflow.net/q/5410`

> Link to a question on meta: [Hyperlink in a comment?](https://meta.mathoverflow.net/q/5410) This looks probably slightly better than a bare URL: https://meta.mathoverflow.net/q/5410

In the [first comment under this post](https://meta.mathoverflow.net/posts/comments/27526) you can see how this looks in a comment.

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See also:
 
 * Help center: [How do I format my posts using Markdown or HTML?](https://mathoverflow.net/help/formatting) - specifically the section "Comment formatting"
 * [Inline links in comments](https://meta.stackexchange.com/q/37758) (Meta Stack Exchange)
 * [How do you cite a reference in a comment?](https://math.meta.stackexchange.com/q/3455) and other [posts linked there](https://math.meta.stackexchange.com/questions/linked/3455) (Mathematics Meta)
 * [How do comments work?](https://meta.stackexchange.com/q/19756) (Meta Stack Exchange) - the section "How can I format and link in comments?"

A basic information about formatting in comments is displayed after  you click on "help" when you're in the window for posting a comment.(Similar screenshot can be found [in this post](https://meta.stackexchange.com/questions/24793/how-do-i-use-formatting-in-comments/77500#77500).)

[![screenshot][1]][1]

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The above concerns using (inline) links in comments. 
Since you have explicitly mentioned a "published article" I will add that using the [citation helper](https://meta.mathoverflow.net/tags/citation-helper/info) (in the editor) and then copy-pasting the result in a comment will not work the same way as in a post.

For example, this works in a post, but [not in a comment](https://meta.mathoverflow.net/posts/comments/27539):

`<cite authors="Dashiell, F. K. jun.">_Dashiell, F. K. jun._, [**Isomorphism problems for the Baire classes**](http://dx.doi.org/10.2140/pjm.1974.52.29), Pac. J. Math. 52, 29-43 (1974). [ZBL0291.46021](https://zbmath.org/?q=an:0291.46021).</cite>`

However, simply by removing the parts with `<cite...>` and `</cite>` yields a result which IMO [looks acceptable in a comment](https://meta.mathoverflow.net/posts/comments/27540).

`_Dashiell, F. K. jun._, [**Isomorphism problems for the Baire classes**](http://dx.doi.org/10.2140/pjm.1974.52.29), Pac. J. Math. 52, 29-43 (1974). [ZBL0291.46021](https://zbmath.org/?q=an:0291.46021).`

(I have used the format exactly the same as generated by the citation helper - of course, depending on personal preferences, I can imagine that some users might change it slightly.)


  [1]: https://i.sstatic.net/bpf8M.png