Renyi information for ergodic diffusion processes

Details Renyi information for ergodic diffusion processes Renyi information for ergodic diffusion processes

2007-11-12

arxiv.org/abs/0711.1789v1

Mathematics

Probability

Scientific paper

In this paper we derive explicit formulas of the R\'enyi information, Shannon
entropy and Song measure for the invariant density of one dimensional ergodic
diffusion processes. In particular, the diffusion models considered include the
hyperbolic, the generalized inverse Gaussian, the Pearson, the exponential
familiy and a new class of skew-$t$ diffusions.

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