On convex hull of d-dimensional fractional Brownian motion

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.

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Year of publication:	2012
Authors:	Davydov, Yu.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 1, p. 37-39
Publisher:	Elsevier
Subject:	Brownian motion \| Multi-dimensional fractional Brownian motion \| Convex hull

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039943