The coding complexity of diffusion processes under supremum norm distortion

Steffen Dereich

Stochastic Processes and their Applications, 2008, vol. 118, issue 6, 917-937

Abstract: We investigate the high resolution quantization and entropy coding problem for solutions of stochastic differential equations under supremum norm distortion. Tight asymptotic formulas are found under mild regularity assumptions. The main technical tool is a decoupling method which allows us to relate the complexity of the diffusion process to that of the Wiener process. The technique is also applicable when considering the Lp[0,1]-norm distortion.

Keywords: High; resolution; quantization; Complexity; Stochastic; processes; Stochastic; differential; equations (search for similar items in EconPapers)
Date: 2008
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