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arXiv · 0711.1789

Renyi information for ergodic diffusion processes

Alessandro De Gregorio·Stefano Iacus
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Abstract

In this paper we derive explicit formulas of the Rényi 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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Alessandro De Gregorio, Stefano Iacus. 2007-11-12. Renyi information for ergodic diffusion processes. https://arxiv.org/abs/0711.1789

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