English

On the convex hull of symmetric stable processes

Probability 2010-04-12 v1

Abstract

Let alpha \in (1, 2] and X be an R^d-valued alpha-stable process with independent and symmetric components starting in 0. We consider the closure S_t of the path described by X on the interval [0, t] and its convex hull Z_t. The first result of this paper provides a formula for certain mean mixed volumes of Z_t and in particular for the expected first intrinsic volume of Z_t. The second result deals with the asymptotics of the expected volume of the stable sausage Z_t+B (where B is an arbitrary convex body with interior points) as t \to 0.

Keywords

Cite

@article{arxiv.1004.1534,
  title  = {On the convex hull of symmetric stable processes},
  author = {Jürgen Kampf and Günter Last},
  journal= {arXiv preprint arXiv:1004.1534},
  year   = {2010}
}

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7 pages