The coding complexity of diffusion processes under supremum norm distortion

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.

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Year of publication:	2008
Authors:	Dereich, Steffen
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 118.2008, 6, p. 917-937
Publisher:	Elsevier
Keywords:	High resolution quantization Complexity Stochastic processes Stochastic differential equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874449