Entropy of Wiener integrals with respect to fractional Brownian motion
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866913673091481600 |
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| author | Bodnarchuk, Iryna Mishura, Yuliya Ralchenko, Kostiantyn |
| author_facet | Bodnarchuk, Iryna Mishura, Yuliya Ralchenko, Kostiantyn |
| contents | The paper is devoted to the properties of the entropy of the exponent-Wiener-integral fractional Gaussian process (EWIFG-process), that is a Wiener integral of the exponent with respect to fractional Brownian motion. Unlike fractional Brownian motion, whose entropy has very simple monotonicity properties in Hurst index, the behavior of the entropy of EWIFG-process is much more involved and depends on the moment of time. We consider these properties of monotonicity in great detail. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_19031 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Entropy of Wiener integrals with respect to fractional Brownian motion Bodnarchuk, Iryna Mishura, Yuliya Ralchenko, Kostiantyn Probability 60G22 The paper is devoted to the properties of the entropy of the exponent-Wiener-integral fractional Gaussian process (EWIFG-process), that is a Wiener integral of the exponent with respect to fractional Brownian motion. Unlike fractional Brownian motion, whose entropy has very simple monotonicity properties in Hurst index, the behavior of the entropy of EWIFG-process is much more involved and depends on the moment of time. We consider these properties of monotonicity in great detail. |
| title | Entropy of Wiener integrals with respect to fractional Brownian motion |
| topic | Probability 60G22 |
| url | https://arxiv.org/abs/2501.19031 |