English

Minimax of an n-dimensional Brownian motion

Probability 2015-04-09 v1

Abstract

For some absolute constants cc, n0n_0 and any nn0n\geq n_0, we show that with probability close to one the convex hull of the nn-dimensional Brownian motion conv{BMn(t):t[1,2cn]}{\rm conv}\{BM_n(t):\, t\in[1,2^{cn}]\} does not contain the origin. The result can be interpreted as an estimate of the minimax of the Gaussian process {uˉ,BMn(t),uˉSn1,t[1,2cn]}\{ \langle \bar{u},BM_n(t)\rangle,\, \bar{u}\in S^{n-1},\, t\in [1,2^{cn}]\}.

Keywords

Cite

@article{arxiv.1504.01778,
  title  = {Minimax of an n-dimensional Brownian motion},
  author = {Konstantin Tikhomirov and Pierre Youssef},
  journal= {arXiv preprint arXiv:1504.01778},
  year   = {2015}
}