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Author: Friz, Peter K. × DDC: 510 × Type: article × Subject: Brownian ×

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    The enhanced Sanov theorem and propagation of chaos
    (Amsterdam [u.a.] : Elsevier, 2017) Deuschel, Jean-Dominique; Friz, Peter K.; Maurelli, Mario; Slowik, Martin
    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.