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.
|Number of pages||42|
|Journal||Stochastic processes and their applications|
|Early online date||21 Sep 2017|
|Publication status||Published - Jul 2018|