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arxiv: 1105.6018 · v1 · pith:O2TEN4CQnew · submitted 2011-05-30 · 🧮 math.PR

On convex hull of d-dimensional fractional Brownian motion

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

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