On polynomial filtration of some continuous semimartingales

In 1991, A. Goswami and B.V. Rao studied the polynomial filtration of Brownian motion and some related processes. The aim of this note is to prove that these results extend to a class of continuous semimartingales, including the Brownian motion with drift.

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Year of publication:	1994
Authors:	Ouknine, Y.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 20.1994, 3, p. 169-172
Publisher:	Elsevier
Subject:	Semimartingales Local time

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

Persistent link: https://www.econbiz.de/10005319945