Exponential convergence in Wasserstein metric for distribution dependent SDEs

Abstract: The existence and uniqueness of stationary distributions and the exponential convergence in $L^p$-Wasserstein distance are derived for distribution dependent SDEs from associated decoupled equations. To establish the exponential convergence, we introduce a twinned Talagrand inequality of the original SDE and the associated decoupled equation, and explicit convergence rate is obtained. Our results can be applied to SDEs without uniformly dissipative drift and distribution dependent diffusion term, which cover the Curie-Weiss model and the granular media model in double-well landscape with quadratic interaction as examples.