ENTROPY FLOW AND DE BRUIJN'S IDENTITY FOR A CLASS OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION

DOI10.1017/S0269964819000421zbMath1499.60123arXiv1903.12325MaRDI QIDQ5051912

Chihoon Lee, Jian Song, Michael C. H. Choi

Publication date: 18 November 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.12325

zbMATH Keywords

Fokker-Planck equationfractional Brownian motionentropy powerde Bruijn's identity

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Related Items (1)

On reconsidering entropies and divergences and their cumulative counterparts: Csiszár's, DPD's and Fisher's type cumulative and survival measures

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