The entropy functional measure on trajectories of a Markov diffusion process and its estimation by the process' cut off applying the impulse control

Details The entropy functional measure on trajectories of a Markov diffusion process and its estimation by the process' cut off applying the impulse control The entropy functional measure on trajectories of a Markov diffusion process and its estimation by the process' cut off applying the impulse control

2012-04-24

arxiv.org/abs/1204.5513v1

Nonlinear Sciences

Adaptation and Self-Organizing Systems

Scientific paper

The paper extends conventional Shannon entropy' measure of a random state on an integral information measure of the Markov diffusion process on its trajectories- solutions of Ito's controllable stochastic equation. The introduced method of cutting off the process by applying an impulse control estimates the cut off information, accumulated by the process' inner connections between its states. It has shown that such a functional information measure contains more information than the sum of Shannon's entropies counted for all process' separated states.

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