Mutual Information for Stochastic Signals and Fractional Brownian Motion

The mutual information between a stochastic signal and this signal plus a fractional Brownian motion (described as an additive fractional Gaussian noise channel) is expressed as the error of an estimation problem that can be naturally associated with this model. If the stochastic signal with the additive fractional Brownian motion occurs multiplied by a scalar parameter, then the rate of change of the mutual information with respect to this parameter is described by the error of another related estimation problem. These results generalize some results for a model where the fractional Brownian motion is a Brownian motion to a model with an arbitrary fractional Brownian motion.