Exponential decay of Rényi divergence under Fokker-Planck equations

Published 16 May 2018 in math.AP | (1805.06554v2)

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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