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arXiv · 1708.04961

Freidlin-Wentzell LDP in path space for McKean-Vlasov equations and the Functional Iterated Logarithm Law

Goncalo Dos Reis·William Salkeld·Julian Tugaut
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Abstract

We show two Freidlin-Wentzell type Large Deviations Principles (LDP) in path space topologies (uniform and H\"older) for the solution process of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) using techniques which directly address the presence of the law in the coefficients and altogether avoiding decoupling arguments or limits of particle systems. We provide existence and uniqueness results along with several properties for a class of MV-SDEs having random coefficients and drifts of super-linear growth. As an application of our results, we establish a Functional Strassen type result (Law of Iterated Logarithm) for the solution process of a MV-SDE.

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Goncalo Dos Reis, William Salkeld, Julian Tugaut. 2017-08-16. Freidlin-Wentzell LDP in path space for McKean-Vlasov equations and the Functional Iterated Logarithm Law. https://doi.org/10.1214/18-aap1416

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