Abstract / Description of output
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 language | English |
|---|---|
| Pages (from-to) | 2228-2269 |
| Number of pages | 42 |
| Journal | Stochastic processes and their applications |
| Volume | 128 |
| Issue number | 7 |
| Early online date | 21 Sept 2017 |
| Publication status | Published - Jul 2018 |