On polynomial filtration of some continuous semimartingales

Y. Ouknine

Statistics & Probability Letters, 1994, vol. 20, issue 3, 169-172

Abstract: 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.

Keywords: Semimartingales; Local; time (search for similar items in EconPapers)
Date: 1994
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