The enhanced Sanov theorem and propagation of chaos
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Date
2017
Volume
128
Issue
7
Journal
Stochastic processes and their applications
Series Titel
Book Title
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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Citation
Deuschel, J.-D., Friz, P. K., Maurelli, M., & Slowik, M. (2017). The enhanced Sanov theorem and propagation of chaos (Amsterdam [u.a.] : Elsevier). Amsterdam [u.a.] : Elsevier. https://doi.org//10.1016/j.spa.2017.09.010
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License
CC BY 4.0 Unported