Asymptotic equivalence of probability measures and stochastic processes

Large deviations (60F10) Continuum models (systems of particles, etc.) arising in equilibrium statistical mechanics (82B21) Statistical thermodynamics (82B30)

Abstract: Let

P_{n}

and

Q_{n}

be two probability measures representing two different probabilistic models of some system (e.g., an

n

-particle equilibrium system, a set of random graphs with

n

vertices, or a stochastic process evolving over a time

n

) and let

M_{n}

be a random variable representing a 'macrostate' or 'global observable' of that system. We provide sufficient conditions, based on the Radon-Nikodym derivative of

P_{n}

and

Q_{n}

, for the set of typical values of

M_{n}

obtained relative to

P_{n}

to be the same as the set of typical values obtained relative to

Q_{n}

in the limit

n i g h t a r r o w i n f t y

. This extends to general probability measures and stochastic processes the well-known thermodynamic-limit equivalence of the microcanonical and canonical ensembles, related mathematically to the asymptotic equivalence of conditional and exponentially-tilted measures. In this more general sense, two probability measures that are asymptotically equivalent predict the same typical or macroscopic properties of the system they are meant to model.

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