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arXiv · 1805.06554

Exponential decay of R\'enyi divergence under Fokker-Planck equations

Yu Cao·Jianfeng Lu·Yulong Lu
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Abstract

We prove the exponential convergence to the equilibrium, quantified by R\'enyi divergence, of the solution of the Fokker-Planck equation with drift given by the gradient of a strictly convex potential. This extends the classical exponential decay result on the relative entropy for the same equation.

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Yu Cao, Jianfeng Lu, Yulong Lu. 2018-05-16. Exponential decay of R\'enyi divergence under Fokker-Planck equations. https://doi.org/10.1007/s10955-019-02339-8

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