aInstitut für Mathematik, MA 7-5, Fakultät II, Technische Universität Berlin, Straße des 17. Juni 136, 10623 Berlin, Germany
Abstract:
We investigate the high resolution quantization and entropy coding problem for solutions of stochastic differential equations under Lp[0,1]-norm distortion. We find explicit high resolution formulas in terms of the average diffusion coefficient seen by the process. The proof is based on a decoupling method introduced in a former article by the author. Given that link it remains to analyze the coding problem for a concatenation of Wiener processes and to solve the corresponding rate allocation problem.