| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156314 | Stochastic Processes and their Applications | 2008 | 21 Pages |
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]Lp[0,1]-norm distortion.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Steffen Dereich,