Exponential Decay of Rényi Divergence Under Fokker–Planck Equations


Journal Article

© 2019, Springer Science+Business Media, LLC, part of Springer Nature. We prove the exponential convergence to the equilibrium, quantified by Rényi 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

Published Date

  • September 1, 2019

Published In

Volume / Issue

  • 176 / 5

Start / End Page

  • 1172 - 1184

Electronic International Standard Serial Number (EISSN)

  • 1572-9613

International Standard Serial Number (ISSN)

  • 0022-4715

Digital Object Identifier (DOI)

  • 10.1007/s10955-019-02339-8

Citation Source

  • Scopus