The enhanced Sanov theorem and propagation of chaos

Jean-Dominique Deuschel, Peter K. Friz, Mario Maurelli and Martin Slowik

Stochastic Processes and their Applications, 2018, vol. 128, issue 7, 2228-2269

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.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:128:y:2018:i:7:p:2228-2269

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DOI: 10.1016/j.spa.2017.09.010

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