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Problemy Peredachi Informatsii, 1979, Volume 15, Issue 1, Pages 14–26 (Mi ppi1471)  
Information Theory

Relationship between Shannon and Fisher Information in a Diffusion Process

A. F. Taraskin
Full-text PDF (745 kB)
Abstract: An asymptotic formula is obtained that relates the Shannon and Fisher quantities of information in the realization of a diffusion process relative to a message that appears in the drift as a random parameter. For some special cases, exact formulas are given that express the Shannon quantity of information in terms of the Fisher information, and it is shown that maximum-likelihood decoding is sufficient in the sense of Pinsker.
Received: 24.01.1977
Bibliographic databases:
Document Type: Article
UDC: 621.391.1:519.27
Language: Russian
Citation: A. F. Taraskin, “Relationship between Shannon and Fisher Information in a Diffusion Process”, Probl. Peredachi Inf., 15:1 (1979), 14–26; Problems Inform. Transmission, 15:1 (1979), 9–18
Citation in format AMSBIB
\Bibitem{Tar79}
\by A.~F.~Taraskin
\paper Relationship between Shannon and Fisher Information in a~Diffusion Process
\jour Probl. Peredachi Inf.
\yr 1979
\vol 15
\issue 1
\pages 14--26
\mathnet{http://mi.mathnet.ru/ppi1471}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=549169}
\zmath{https://zbmath.org/?q=an:0435.94007}
\transl
\jour Problems Inform. Transmission
\yr 1979
\vol 15
\issue 1
\pages 9--18
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    		Проблемы передачи информации Problems of Information Transmission
     
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