The enhanced Sanov theorem and propagation of chaos
| dc.bibliographicCitation.date | 2018 | |
| dc.bibliographicCitation.firstPage | 2228 | eng |
| dc.bibliographicCitation.issue | 7 | eng |
| dc.bibliographicCitation.journalTitle | Stochastic processes and their applications | eng |
| dc.bibliographicCitation.lastPage | 2269 | eng |
| dc.bibliographicCitation.volume | 128 | eng |
| dc.contributor.author | Deuschel, Jean-Dominique | |
| dc.contributor.author | Friz, Peter K. | |
| dc.contributor.author | Maurelli, Mario | |
| dc.contributor.author | Slowik, Martin | |
| dc.date.accessioned | 2022-06-22T07:44:03Z | |
| dc.date.available | 2022-06-22T07:44:03Z | |
| dc.date.issued | 2017 | |
| dc.description.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. | eng |
| dc.description.version | publishedVersion | eng |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/9121 | |
| dc.identifier.uri | https://doi.org/10.34657/8159 | |
| dc.language.iso | eng | eng |
| dc.publisher | Amsterdam [u.a.] : Elsevier | eng |
| dc.relation.doi | https://doi.org/10.1016/j.spa.2017.09.010 | |
| dc.relation.essn | 1879-209X | |
| dc.rights.license | CC BY 4.0 Unported | eng |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | eng |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | Computer simulation | eng |
| dc.subject.other | Statistics | eng |
| dc.subject.other | Brownian | eng |
| dc.subject.other | Empirical measure | eng |
| dc.subject.other | Large deviation principle | eng |
| dc.subject.other | Large deviations | eng |
| dc.subject.other | P systems | eng |
| dc.subject.other | Robust analysis | eng |
| dc.subject.other | Sanov theorem | eng |
| dc.subject.other | Stochastic systems | eng |
| dc.title | The enhanced Sanov theorem and propagation of chaos | eng |
| dc.type | Article | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Zeitschriftenartikel | eng |
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