Convex hull of Brownian motion and Brownian bridge

Abstract

In this article we study the convex hull spanned by the union of trajectories of a standard planar Brownian motion, and an independent standard planar Brownian bridge. We find exact values of the expectation of perimeter and area of such a convex hull. As an auxiliary result, that is of interest in its own right, we provide an explicit shape of the probability density function of a random variable that represents the time when combined maximum of a standard one-dimensional Brownian motion, and an independent standard one-dimensional Brownian bridge is attained. At the end, we generalize our results to the case of multiple independent standard planar Brownian motions and Brownian bridges.