The quantization complexity of diffusion processes
概率论
2007-05-23 v1
摘要
We investigate the high resolution coding problem for solutions of stochastic differential equations in the L^p[0,1]- and the C[0,1]-space. Tight asymptotic estimates are found under weak 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 under certain random distortions.
引用
@article{arxiv.math/0411597,
title = {The quantization complexity of diffusion processes},
author = {Steffen Dereich},
journal= {arXiv preprint arXiv:math/0411597},
year = {2007}
}
备注
31 pages