2025/01/27 by Xing Huang, Huang, Xing, Eva Kopfer +3 · 2 citations
Economics, Econometrics and Finance · #Monetary Policy and Economic Impact
paper · pdf · doi:10.48550/arxiv.2501.16092
The exponential ergodicity of partially dissipative McKean-Vlasov SDEs in the \(L1\)-Wasserstein distance has been extensively studied using asymptotic reflection coupling. However, the reflection coupling method is not applicable for the exponential ergodicity in L2-Wasserstein distance and relative entropy. In this paper, we first establish uniform log-Sobolev inequalities (in the frozen measure variable with bounded second moments) for the invariant probability measure of the corresponding SDEs with frozen distribution. Second, for the McKean-Vlasov SDEs, we combine the log-Harnack inequality and Talagrand's inequality to derive exponential ergodicity in both L2-Wasserstein distance and relative entropy. Furthermore, we extend these main results to the case of degenerate diffusion.