Entropic Compressibility of Lévy Processes

DOI10.1109/TIT.2022.3167863MaRDI QIDQ5096963zbMATH OpenFDO

Authors Julien Fageot, A. Fallah, Thibaut Horel

Publication date 19 August 2022

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.10753

compressibility entropy of double discretization Lévy processes

Infinitely divisible distributions; stable distributions (60E07) Self-similar stochastic processes (60G18) Measures of information, entropy (94A17)

Abstract: In contrast to their seemingly simple and shared structure of independence and stationarity, L'evy processes exhibit a wide variety of behaviors, from the self-similar Wiener process to piecewise-constant compound Poisson processes. Inspired by the recent paper of Ghourchian, Amini, and Gohari (2018), we characterize their compressibility by studying the entropy of their double discretization (both in time and amplitude) in the regime of vanishing discretization steps. For a L'evy process with absolutely continuous marginals, this reduces to understanding the asymptotics of the differential entropy of its marginals at small times, for which we obtain a new local central limit theorem. We generalize known results for stable processes to the non-stable case, with a special focus on L'evy processes that are locally self-similar, and conceptualize a new compressibility hierarchy of L'evy processes, captured by their Blumenthal-Getoor index.

Cited in

(1)

Entropy compression versus Lovász local lemma

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