Entropy flow and De Bruijn's identity for a class of stochastic differential equations driven by fractional Brownian motion

Michael C. H. Choi, Chihoon Lee, Jian Song

Published 2019-03-29Version 1

Motivated by the classical De Bruijn's identity for the additive Gaussian noise channel, in this paper we consider a generalized setting where the channel is modelled via stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H\in(1/4,1)$. We derive generalized De Bruijn's identity for Shannon entropy and Kullback-Leibler divergence by means of It\^o's formula, and present two applications where we relax the assumption to $H \in (0,1)$. In the first application we demonstrate its equivalence with Stein's identity for Gaussian distributions, while in the second application, we show that for $H \in (0,1/2]$, the entropy power is concave in time while for $H \in (1/2,1)$ it is convex in time when the initial distribution is Gaussian. Compared with the classical case of $H = 1/2$, the time parameter plays an interesting and significant role in the analysis of these quantities.