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A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations
entropy and Fisher information stochastic differential equations Probability
2011/9/13
Abstract: We introduce and develop a pathwise description of the dissipation of general convex entropies for continuous time Markov processes, based on simple backward martingales and convergence theo...
A CLT for Information-theoretic statistics of Non-centered Gram random matrices
Random Matrix Spectral measure Stieltjes Transform Central Limit Theorem
2011/8/22
Abstract: In this article, we study the fluctuations of the random variable: $$ {\mathcal I}_n(\rho) = \frac 1N \log\det(\Sigma_n \Sigma_n^* + \rho I_N),\quad (\rho>0) $$ where $\Sigma_n= n^{-1/2} D_n...
Information theoretic interpretation of frequency domain connectivity measures
Information theoretic interpretation frequency domain connectivity measures
2011/1/17
To provide adequate multivariate measures of information flow between neural structures, modified expressions of Partial Directed Coherence (PDC) and Directed Transfer Function (DTF), two popular mult...
Information-Theoretic Capacity and Error Exponents of Stationary Point Processes under Random Additive Displacements
Information-Theoretic Capacity Error Exponents of Stationary Point Processes
2011/2/25
This paper studies the Shannon regime for the random displacement of stationary point processes. Let each point of some initial stationary point process in Rn give rise to one daughter point, the loca...
Some Theorems on the Algorithmic Approach to Probability Theory and Information Theory
Algorithmic Approach to Probability Theory Information Theory
2010/12/14
Some Theorems on the Algorithmic Approach to Probability Theory and Information Theory.
Information Asymmetry in Pricing of Credit Derivatives
asymmetric information enlargement of filtrations default threshold risk neutral probability measures pricing of credit derivatives
2010/4/27
We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the...
Securities Pricing with Information-Sensitive Discounting
Asset pricing incomplete information stochastic interest rates credi trisk recovery models credit-ination hybrid securities information-sensitive pricing kernels
2010/4/27
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random rec...