English

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) {B(t),  t0} \{B(t), \;t \geq 0\} with values in Rd\mathbb{R}^d, its convex hull V(t)=\conv{{B(s),  st} V(t)=\conv \{\{\,B(s),\;s \leq t \} with probability 11 for each t>0t > 0 contains 00 as an interior point (see Evans (1985)). We also know that the winding number of a typical path of a 22-dimensional BM is equal to +.+\infty. The aim of this article is to show that these properties aren't specifically "Brownian", but hold for a much larger class of dd-dimensional self similar processes. This class contains in particular dd-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}
}