The coding complexity of Lévy processes

Details The coding complexity of Lévy processes The coding complexity of Lévy processes

2007-07-20

arxiv.org/abs/0707.3040v1

Foundations of Computational Mathematics 9 (2009), no. 3, 359-390

Mathematics

Probability

26 pages

Scientific paper

10.1007/s10208-008-9035-z

We investigate the high resolution coding problem for general real-valued
L\'evy processes under L^p[0,1]-norm distortion. Tight asymptotic formulas are
found under mild regularity assumptions.

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