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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.
Original language | English |
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Pages (from-to) | 37-39 |
Number of pages | 3 |
Journal | Statistics and Probability Letters |
Volume | 82 |
Issue number | 1 |
DOIs | |
State | Published - Jan 2012 |
ID: 73460333