Large deviation properties of weakly interacting processes via weak convergence methods

DOI10.1214/10-AOP616zbMath1242.60026arXiv1009.6030OpenAlexW2131355869WikidataQ105577645 ScholiaQ105577645MaRDI QIDQ662424

Paul Dupuis, Amarjit Budhiraja, Markus Fischer

Publication date: 22 February 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.6030

zbMATH Keywords

stochastic differential equationweak convergencedelaylarge deviationsinteracting random processesmartingale problemoptimal stochastic controlMcKean-Vlasov equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Large deviations (60F10) Stochastic functional-differential equations (34K50) Convergence of probability measures (60B10)

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