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arXiv · 1602.08043

The enhanced Sanov theorem and propagation of chaos

Jean-Dominique Deuschel·Peter K. Friz·Mario Maurelli·Martin Slowik
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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 its McKean-Vlasov type limit, as shown in two corollaries.

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Jean-Dominique Deuschel, Peter K. Friz, Mario Maurelli, Martin Slowik. 2016-11-28. The enhanced Sanov theorem and propagation of chaos. https://doi.org/10.1016/j.spa.2017.09.010

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