Epsilon Entropy of Stochastic Processes With Continuous Paths
نویسندگان
چکیده
منابع مشابه
Analysis of trajectory entropy for continuous stochastic processes at equilibrium.
The analytical expression for the trajectory entropy of the overdamped Langevin equation is derived via two approaches. The first route goes through the Fokker-Planck equation that governs the propagation of the conditional probability density, while the second method goes through the path integral of the Onsager-Machlup action. The agreement of these two approaches in the continuum limit under...
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We propose to quantify the trajectory entropy of a dynamic system as the information content in excess of a free-diffusion reference model. The space-time trajectory is now the dynamic variable, and its path probability is given by the Onsager-Machlup action. For the time propagation of the overdamped Langevin equation, we solved the action path integral in the continuum limit and arrived at an...
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The entropy rate of independent and identically distributed events can on average be encoded by H(X) bits per source symbol. However, in reality, series of events (or processes) are often randomly distributed and there can be arbitrary dependence between each event. Such processes with arbitrary dependence between variables are called stochastic processes. This report shows how to calculate the...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1973
ISSN: 0091-1798
DOI: 10.1214/aop/1176996894