The enhanced Sanov theorem and propagation of chaos
Probability
2019-04-23 v2
Abstract
We establish a Sanov type large deviation principle for an ensemble of interacting Brownian rough paths. As application a large deviations for the (-layer, enhanced) empirical measure of weakly interacting diffusions is obtained. This in turn implies a propagation of chaos result in rough path spaces and allows for a robust subsequent analysis of the particle system and its McKean-Vlasov type limit, as shown in two corollaries.
Keywords
Cite
@article{arxiv.1602.08043,
title = {The enhanced Sanov theorem and propagation of chaos},
author = {Jean-Dominique Deuschel and Peter K. Friz and Mario Maurelli and Martin Slowik},
journal= {arXiv preprint arXiv:1602.08043},
year = {2019}
}
Comments
42 pages