The enhanced Sanov theorem and propagation of chaos
arXiv:1602.08043 · doi:10.1016/j.spa.2017.09.010
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 rough path spaces and allows for a robust subsequent analysis of the particle system and its McKean-Vlasov type limit, as shown in two corollaries.
42 pages
Cited by in corpus (6)
- Freidlin-Wentzell LDP in path space for McKean-Vlasov equations and the Functional Iterated Logarithm Law
- Pathwise McKean-Vlasov Theory with Additive Noise
- Solving mean field rough differential equations
- Propagation of chaos for mean field rough differential equations
- Rough functional quantization and the support of McKean-Vlasov equations
- Small ball probabilities, metric entropy and Gaussian rough paths