English

Large deviations for interacting diffusions with path-dependent McKean-Vlasov limit

Probability 2022-03-03 v2

Abstract

We consider a mean-field system of path-dependent stochastic interacting diffusions in random media over a finite time window. The interaction term is given as a function of the empirical measure and is allowed to be non-linear and path dependent. We prove that the sequence of empirical measures of the full trajectories satisfies a large deviation principle with explicit rate function. The minimizer of the rate function is characterized as the path-dependent McKean-Vlasov diffusion associated to the system. As corollary, we obtain a strong law of large numbers for the sequence of empirical measures. The proof is based on a decoupling technique by associating to the system a convenient family of product measures. To illustrate, we apply our results for the delayed stochastic Kuramoto model and for a SDE version of Galves-L\"ocherbach model.

Keywords

Cite

@article{arxiv.1912.00440,
  title  = {Large deviations for interacting diffusions with path-dependent McKean-Vlasov limit},
  author = {Rangel Baldasso and Alan Pereira and Guilherme Reis},
  journal= {arXiv preprint arXiv:1912.00440},
  year   = {2022}
}

Comments

This version coincides with the published one

R2 v1 2026-06-23T12:32:23.747Z