Mutual information for stochastic differential equations driven by fractional Brownian motion

DOI10.1515/ROSE.2010.1zbMATH Open1224.60078MaRDI QIDQ3077709FDOQ3077709

Authors: K. Es-Sebaiy, Youssef Ouknine 

Publication date: 22 February 2011

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

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zbMATH Keywords

mutual informationfractional Brownian motionGirsanov transformationinnovation process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Signal detection and filtering (aspects of stochastic processes) (60G35) Communication theory (94A05) Stochastic integrals (60H05)

Cites Work

• Fractional Brownian Motions, Fractional Noises and Applications
• Stochastic calculus with respect to Gaussian processes
• Stochastic analysis of the fractional Brownian motion
• Regularization of differential equations by fractional noise.
• Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
• Equivalence of Volterra processes.
• Mutual Information and Minimum Mean-Square Error in Gaussian Channels
• On the Calculation of Mutual Information
• Mutual information for stochastic differential equations

Cited In (5)

• Entropy flow and de Bruijn's identity for a class of stochastic differential equations driven by fractional Brownian motion
• Information upper bound for McKean–Vlasov stochastic differential equations
• Entropy, uncertainty and related concepts in Brownian motion process
• Information geometric characterization of the complexity of fractional Brownian motions
• Mutual Information for Stochastic Signals and Fractional Brownian Motion

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