English

On convex hull of d-dimensional fractional Brownian motion

Probability 2011-05-31 v1

Abstract

It is well known that for standard Brownian motion {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 1 contains 0 as an interior point for each t>0t > 0 (see \cite{E}). The aim of this note is to state the analoguos property for dd-dimensional fractional Brownian motion.

Keywords

Cite

@article{arxiv.1105.6018,
  title  = {On convex hull of d-dimensional fractional Brownian motion},
  author = {Youri Davydov},
  journal= {arXiv preprint arXiv:1105.6018},
  year   = {2011}
}