The coding complexity of diffusion processes under Lp[0,1]-norm distortion

Steffen Dereich

Stochastic Processes and their Applications, 2008, vol. 118, issue 6, 938-951

Abstract: We investigate the high resolution quantization and entropy coding problem for solutions of stochastic differential equations under Lp[0,1]-norm distortion. We find explicit high resolution formulas in terms of the average diffusion coefficient seen by the process. The proof is based on a decoupling method introduced in a former article by the author. Given that link it remains to analyze the coding problem for a concatenation of Wiener processes and to solve the corresponding rate allocation problem.

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