Exponential Convergence for Functional SDEs with H\"older Continuous Drift
Probability
2018-11-06 v2
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.
Cite
@article{arxiv.1807.02312,
title = {Exponential Convergence for Functional SDEs with H\"older Continuous Drift},
author = {Xing Huang},
journal= {arXiv preprint arXiv:1807.02312},
year = {2018}
}
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