Coding of Brownian Motion by Quantization of Exit Times

被引：0
|
作者：
Poloczek, Felix [1 ]
Ciucu, Florin [1 ]
机构：
[1] TU Berlin, T Labs, Berlin, Germany
来源：
2012 50TH ANNUAL ALLERTON CONFERENCE ON COMMUNICATION, CONTROL, AND COMPUTING (ALLERTON) | 2012年
关键词：
DIFFUSION-PROCESSES; COMPLEXITY; DISTORTION;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We present a concrete coding scheme for standard linear Brownian motion. The coding error under sup-norm decays like O(r(-1/2)) in the entropy r, and is thus rate-optimal. Moreover, the multiplicative constant lies below the theoretical maximum, and thus improves the known results. The scheme is based on a novel technique for quantizing the exit times of Brownian motion within a random error.
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页码：557 / 564
页数：8
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