Abstract
We investigate the high resolution quantization and entropy coding problem for solutions of stochastic differential equations under L p [ 0 , 1 ] -norm distortion. We find explicit high resolution formulas in terms of the average diffusion coefficient seen by the process. The proof is based on a decoupling method introduced in a former article by the author. Given that link it remains to analyze the coding problem for a concatenation of Wiener processes and to solve the corresponding rate allocation problem.
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