The enhanced Sanov theorem and propagation of chaos
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Date
2017
Volume
128
Issue
7
Journal
Stochastic processes and their applications
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Publisher
Amsterdam [u.a.] : Elsevier
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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 a space of rough paths and allows for a robust analysis of the particle system and its McKean–Vlasov type limit, as shown in two corollaries.
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CC BY 4.0 Unported