Entropic Compressibility of Lévy Processes
Entropic Compressibility of Lévy Processes
In contrast to their seemingly simple and shared structure of independence and stationarity, L\'evy processes exhibit a wide variety of behaviors, from the self-similar Wiener process to piecewise-constant compound Poisson processes. Inspired by the recent paper of Ghourchian, Amini, and Gohari (2018), we characterize their compressibility by studying the entropy …