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Exponential Ergodicity and Propagation of Chaos for Path-Distribution Dependent Stochastic Hamiltonian System
By Girsanov's thoerem and using the existing log-Harnack inequality for
distribution independent SDEs, the log-Harnack inequality is derived for
path-distribution dependent stochastic Hamiltonian systems. As an application,
the exponential ergodicity in relative entropy is obtained by combining with
transportation cost inequality. In addition, the rate of propagation of chaos
in the sense of Wasserstein distance, total variation norm as well as relative
entropy are obtained.Comment: 29 page
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