Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156315 | Stochastic Processes and their Applications | 2008 | 14 Pages |
Abstract
We investigate the high resolution quantization and entropy coding problem for solutions of stochastic differential equations under Lp[0,1]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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Steffen Dereich,