• Corpus ID: 231740570

Hypoelliptic entropy dissipation for stochastic differential equations

@inproceedings{Feng2021HypoellipticED,
  title={Hypoelliptic entropy dissipation for stochastic differential equations},
  author={Qi Feng and Wuchen Li},
  year={2021}
}

• Qi Feng, Wuchen Li
• Published 31 January 2021
• Mathematics

We study convergence behaviors of degenerate and non-reversible stochastic differential equations. Our method follows a Lyapunov method in probability density space, in which the Lyapunov functional is chosen as a weighted relative Fisher information functional. We construct a weighted Fisher information induced Gamma calculus method with a structure condition. Under this condition, an explicit algebraic tensor is derived to guarantee the convergence rate for the probability density function converging to its invariant distribution. We provide an analytical example for underdamped Langevin dynamics with variable diffusion coefficients.