On the Convex Hull and Winding Number of Self-Similar Processes

详细

It is well known that for a standard Brownian motion (BM) {B(t), t ≥ 0} with values in R^d, its convex hull V (t) = conv{B(s), s ≤ t} with probability 1 for each t > 0 contains 0 as an interior point. We also know that the winding number of a typical path of a two-dimensional BM is equal to +∞. The aim of this paper is to show that these properties are not specifically “Brownian,” but hold for a much larger class of d-dimensional self-similar processes. This class contains, in particular, d-dimensional fractional Brownian motions and (concerning convex hulls) strictly stable Lévy processes. Bibliography: 10 titles.