We establish a Sanov type large deviation principle for an ensemble of interacting Brownian rough paths. As application a large deviations for the (k-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.

The enhanced Sanov theorem and propagation of chaos / J. Deuschel, P.K. Friz, M. Maurelli, M. Slowik. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 128:7(2018), pp. 2228-2269.

The enhanced Sanov theorem and propagation of chaos

M. Maurelli;
2018

Abstract

We establish a Sanov type large deviation principle for an ensemble of interacting Brownian rough paths. As application a large deviations for the (k-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.
Rough paths
Settore MAT/06 - Probabilita' e Statistica Matematica
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2434/642538
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