Dynamics of Uncertainty in Nonequilibrium Random Motion

Abstract

Shannon information entropy is a natural measure of probability (de)localization and thus (un)predictability in various procedures of data analysis for model systems. We pay particular attention to links between the Shannon entropy and the related Fisher information notion, which jointly account for the shape and extension of continuous probability distributions. Classical, dynamical and random systems in general give rise to time-dependent probability densities and associated information measures. The induced dynamics of Shannon and Fisher functionals reveals an interplay among various characteristics of the considered diffusion-type systems: information, uncertainty and localization while put against mean energy and its balance.