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The coding complexity of diffusion processes under supremum norm distortion

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  • Dereich, Steffen

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]-norm distortion.

Suggested Citation

  • Dereich, Steffen, 2008. "The coding complexity of diffusion processes under supremum norm distortion," Stochastic Processes and their Applications, Elsevier, vol. 118(6), pages 917-937, June.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:6:p:917-937
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    5. ., 1998. "Reduction to Dated Quantities of Labour," Chapters, in: Heinz D. Kurz & Neri Salvadori (ed.), The Elgar Companion to Classical Economics, volume 0, chapter 127, Edward Elgar Publishing.
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    1. Dereich, Steffen, 2008. "The coding complexity of diffusion processes under Lp[0,1]-norm distortion," Stochastic Processes and their Applications, Elsevier, vol. 118(6), pages 938-951, June.

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