Exponential decay of Rényi divergence under Fokker-Planck equations

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Cao, Y; Lu, J; Lu, Y