On convex hull of d-dimensional fractional Brownian motion

preprint2011arXivOpen access

Abstract

It is well known that for standard Brownian motion {B(t),  t≥0} \{B(t), \;t \geq 0\} with values in Rd\mathbb{R}^d its convex hull $ 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.

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