Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients

It is well-known that for a one dimensional stochastic differential equation driven by Brownian noise, with coefficient functions satisfying the assumptions of the Yamada-Watanabe theorem (Yamada and Watanabe, 1971, [31,32]) and the Feller test for explosions (Feller, 1951, 1954), there exists a unique stationary distribution with respect to the Markov semigroup of transition probabilities. We consider systems on a restricted domain D of the phase space R and study the rate of convergence to the stationary distribution. Using a geometrical approach that uses the so called free energy function on the density function space, we prove that the density functions, which are solutions of the Fokker-Planck equation, converge to the stationary density function exponentially under the Kullback-Leibler divergence, thus also in the total variation norm. The results show that there is a relation between the Bakry-Émery curvature dimension condition and the dissipativity condition of the transformed system under the Fisher-Lamperti transformation. Several applications are discussed, including the Cox-Ingersoll-Ross model and the Ait-Sahalia model in finance and the Wright-Fisher model in population genetics.