On convex hull of d-dimensional fractional Brownian motion

DOI10.1016/J.SPL.2011.09.004MaRDI QIDQ654464zbMATH OpenOpenAlexFDO

Authors Yu. Davydov

Publication date 28 December 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.6018

zbMATH Keywords

Brownian motionconvex hullmulti-dimensional fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Self-similar stochastic processes (60G18)

Abstract: It is well known that for standard Brownian motion $B(t),;tgeq0$ with values in $mathbb{R}^d$ its convex hull $$ with probability 1 contains 0 as an interior point for each $t>0$ (see cite{E}). The aim of this note is to state the analoguos property for $d$-dimensional fractional Brownian motion.

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Cites work

• scientific article; zbMATH DE number 3775877 (Why is no real title available?)
• Covariance function of vector self-similar processes
• On the Hausdorff dimension of Brownian cone points
• Operator fractional Brownian motion as limit of polygonal lines processes in Hilbert space

Cited in

(7)

• Wasserstein asymptotics for the empirical measure of fractional Brownian motion on a flat torus
• Moment inequalities for functionals of the Brownian convex hull
• Volumetric properties of the convex hull of an \(n\)-dimensional Brownian motion
• Fractal dimension results for continuous time random walks
• Curvature of the convex hull of planar Brownian motion near its minimum point
• Remark on logically constant self-similar processes
• On the convex hull and winding number of self-similar processes

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