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

Maurelli, Mario;
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.
Deuschel, Jean-Dominique; Friz, Peter K.; Maurelli, Mario; Slowik, Martin
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11568/1149887
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