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 languageEnglish
Pages (from-to)37-39
Number of pages3
JournalStatistics and Probability Letters
Volume82
Issue number1
DOIs
StatePublished - Jan 2012

    Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

    Research areas

  • Brownian motion, Convex hull, Multi-dimensional fractional Brownian motion

ID: 73460333