Regularities and exponential ergodicity in entropy for SDEs driven by distribution dependent noise

被引：1
|
作者：
Huang, Xing [1 ]
Wang, Feng-Yu [1 ]
机构：
[1] Tianjin Univ, Ctr Appl Math, Tianjin 300072, Peoples R China
来源：
BERNOULLI | 2024年 / 30卷 / 04期
基金：
国家重点研发计划;
关键词：
Bismut formula; distribution dependent SDE; exponential ergodicity in entropy; log-Harnack inequality; FOKKER-PLANCK EQUATIONS; BISMUT FORMULA;
D O I：
10.3150/23-BEJ1715
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
As two crucial tools characterizing regularity properties of stochastic systems, the log-Harnack inequality and Bismut formula have been intensively studied for distribution dependent (McKean-Vlasov) SDEs. However, due to technical difficulties, existing results mainly focus on the case with distribution free noise. In this paper, we introduce a noise decomposition argument to establish the log-Harnack inequality and Bismut formula for SDEs with distribution dependent noise, in both non-degenerate and degenerate situations. As an application, the exponential ergodicity in entropy is investigated.
引用
收藏
页码：3303 / 3323
页数：21
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