Mutual information for stochastic differential equations driven by fractional Brownian motion
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Publication:3077709
DOI10.1515/ROSE.2010.1zbMath1224.60078MaRDI QIDQ3077709
Khalifa Es-Sebaiy, Youssef Ouknine
Publication date: 22 February 2011
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
60G22: Fractional processes, including fractional Brownian motion
60G35: Signal detection and filtering (aspects of stochastic processes)
60H05: Stochastic integrals
94A05: Communication theory
Cites Work
- Stochastic analysis of the fractional Brownian motion
- Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
- Regularization of differential equations by fractional noise.
- Equivalence of Volterra processes.
- Mutual Information and Minimum Mean-Square Error in Gaussian Channels
- Fractional Brownian Motions, Fractional Noises and Applications
- On the Calculation of Mutual Information
- Mutual information for stochastic differential equations
- Stochastic calculus with respect to Gaussian processes