On the form of the large deviation rate function for the empirical measures of weakly interacting systems (Q470049)

``A basic result of large deviations theory is Sanov's theorem, which states that the sequence of empirical measures of independent and identically distributed samples satisfies the large deviation principle with rate function given by [the] relative entropy with respect to the common distribution.'' For more general cases, the large deviation principle is usually obtained by transferring Sanov's theorem using Varadhan's lemma through an absolutely continuous change of measure. The author of this paper shows that the large deviation principle holds with rate function in the relative entropy form also for weakly interacting systems that do not allow for an absolutely continuous change of measure with respect to product distributions. Two classes of systems are discussed: noise-based systems to which the contraction principle is applicable, and systems described by weakly interacting Itō processes.