Large Deviations for Hierarchical Systems of Interacting Jump Processes

Boualem Djehiche and Alexander Schied ()
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Alexander Schied: Humboldt-Universität

Journal of Theoretical Probability, 1998, vol. 11, issue 1, 1-24

Abstract: Abstract We investigate the large deviations principle from the McKean–Vlasov limit for a collection of jump processes obeying a two-level hierarchy interaction. A large deviation upper bound is derived and it is shown that the associated rate function admits a Lagrangian representation as well as a nonvariational one. Moreover, it is proved that the admissible paths for the weak solution of the McKean–Vlasov equation enjoy certain strong differentiability properties.

Keywords: Two-level hierarchical interaction; McKean–Vlasov limit; large deviations; Orlicz space; measure-valued processes; weak interaction; epidemic process (search for similar items in EconPapers)
Date: 1998
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DOI: 10.1023/A:1021690707556

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