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The enhanced Sanov theorem and propagation of chaos
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.