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arxiv: 1805.06554 · v2 · pith:YKTD4RGHnew · submitted 2018-05-16 · 🧮 math.AP

Exponential decay of R\'enyi divergence under Fokker-Planck equations

classification 🧮 math.AP
keywords exponentialdecaydivergenceenyiequationfokker-planckclassicalconvergence
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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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