The enhanced Sanov theorem and propagation of chaos

Jean-Dominique Deuschel, Peter K. Fritz, Mario Maurelli

Research output: Contribution to journalArticlepeer-review

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 rough path spaces and allows for a robust subsequent analysis of the particle system and itsMcKean-Vlasov type limit, as shown in two corollaries.
Original languageEnglish
Pages (from-to)2228-2269
Number of pages42
JournalStochastic processes and their applications
Volume128
Issue number7
Early online date21 Sep 2017
Publication statusPublished - Jul 2018

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