Mutual information for stochastic differential equations driven by fractional Brownian motion

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)

zbMATH Keywords

fractional Brownian motionmutual informationinnovation processGirsanov transformation

Mathematics Subject Classification ID

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

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

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