On convex hull of d-dimensional fractional Brownian motion

Yu. Davydov

Statistics & Probability Letters, 2012, vol. 82, issue 1, 37-39

Abstract: It is well known that for standard Brownian motion {B(t),t≥0} with values in Rd its convex hull V(t)=conv{B(s),s≤t} with probability 1 contains 0 as an interior point for each t>0 (see Evans, 1985). The aim of this note is to state the analogous property for d-dimensional fractional Brownian motion.

Keywords: Brownian motion; Multi-dimensional fractional Brownian motion; Convex hull (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2011.09.004

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