High resolution quantization and entropy coding of jump processes

Abstract

We study the quantization problem for certain types of jump processes. The probabilities for the number of jumps are assumed to be bounded by Poisson weights. Otherwise, jump positions and increments can be rather generally distributed and correlated. We show in particular that in many cases entropy coding error and quantization error have distinct rates. Finally, we investigate the quantization problem for the special case of $\mathbb{R}^d$-valued compound Poisson processes.