Random dynamical systems, entropies and information

DOI10.1016/S0378-4371(00)00546-XMaRDI QIDQ1591817zbMATH OpenFDO

Authors Maurizio Serva

Publication date 9 January 2001

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/chao-dyn/9906037

zbMATH Keywords

measurabilitypredictabilitytime correlations

Mathematics Subject Classification ID

General theory of random and stochastic dynamical systems (37H05)

Abstract: Prediction of events is the challenge in many different disciplines, from meteorology to finance; the more this task is difficult, the more a system is {it complex}. Nevertheless, even according to this restricted definition, a general consensus on what should be the correct indicator for complexity is still not reached. In particular, this characterization is still lacking for systems whose time evolution is influenced by factors which are not under control and appear as random parameters or random noise. We show in this paper how to find the correct indicators for complexity in the information theory context. The crucial point is that the answer is twofold depending on the fact that the random parameters are measurable or not. The content of this apparently trivial observation has been often ignored in literature leading to paradoxical results. Predictability is obviously larger when the random parameters are measurable, nevertheless, in the contrary case, predictability improves when the unknown random parameters are time correlated.

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Cited in

(8)

• Energy and information of chaotic dynamical systems
• The algorithmic information content for randomly perturbed systems
• Time-restricted sensitivity and entropy for random dynamical systems
• Entropy Via Random Perturbations
• scientific article; zbMATH DE number 2100600 (Why is no real title available?)
• On Information/Entropy Flow in Stochastic Dynamical Systems
• scientific article; zbMATH DE number 3294098 (Why is no real title available?)
• Predictability: a way to characterize complexity

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