Exponential Convergence for Functional SDEs with H\"older Continuous Drift

Xing Huang

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arXiv · 1807.02312

Exponential Convergence for Functional SDEs with H\"older Continuous Drift

Xing Huang

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Abstract

Applying Zvonkin's transform, the exponential convergence in Wasserstein distance for a class of functional SDEs with H\"older continuous drift is obtained. This combining with log-Harnack inequality implies the same convergence in the sense of entropy, which also yields the convergence in total variation norm by Pinsker's inequality.

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Xing Huang. 2018-07-06. Exponential Convergence for Functional SDEs with H\"older Continuous Drift. https://arxiv.org/abs/1807.02312

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