On convex hull and winding number of self similar processes
Probability
2015-10-29 v1
Abstract
It is well known that for a standard Brownian motion (BM) with values in , its convex hull with probability for each contains as an interior point (see Evans (1985)). We also know that the winding number of a typical path of a -dimensional BM is equal to The aim of this article is to show that these properties aren't specifically "Brownian", but hold for a much larger class of -dimensional self similar processes. This class contains in particular -dimensional fractional Brownian motions and (concerning convex hulls) strictly stable Levy processes.
Keywords
Cite
@article{arxiv.1510.08244,
title = {On convex hull and winding number of self similar processes},
author = {Youri Davydov},
journal= {arXiv preprint arXiv:1510.08244},
year = {2015}
}