Article ID Journal Published Year Pages File Type
1156315 Stochastic Processes and their Applications 2008 14 Pages PDF
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)
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