Exponential convergence in Wasserstein Distance for Diffusion Semigroups with Irregular Drifts

Abstract: The exponential contraction in $L^1$-Wasserstein distance and exponential convergence in $L^q$-Wasserstein distance ($q\geq 1$) are considered for stochastic differential equations with irregular drift. When the irregular drift drift is locally bounded, the exponential convergence are derived by using the reflection coupling with a new auxiliary function for stochastic differential equations driven by multiplicative noise. Explicit convergence rate is obtained. When the irregular drift is not locally bounded, a new Zvonkin's transformation is given by an ultracontractive reference diffusion, and the exponential convergence is derived by combining the Zvonkin's transformation and related results for stochastic differential equations with locally bounded irregular drift.