Differential Properties of Information in Jump-Diffusion Channels

We propose a channel modeling using jumpdiffusion processes, and study the differential properties of entropy and mutual information. By utilizing the Kramers-Moyal and Kolmogorov equations, we express the mutual information between the input and the output in series and integral forms, presented by Fisher-type information and mismatched KL divergence. We extend de Bruijn's identity and the I-MMSE relation to encompass general Markov processes.