Entropy of Wiener integrals with respect to fractional Brownian motion

Iryna Bodnarchuk; Yuliya Mishura; Kostiantyn Ralchenko

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arXiv · 2501.19031

Entropy of Wiener integrals with respect to fractional Brownian motion

Iryna Bodnarchuk·Yuliya Mishura·Kostiantyn Ralchenko

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Abstract

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.

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BibTeX RIS

Iryna Bodnarchuk, Yuliya Mishura, Kostiantyn Ralchenko. 2025-01-31. Entropy of Wiener integrals with respect to fractional Brownian motion. https://arxiv.org/abs/2501.19031

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