Empirical measure and small noise asymptotics under large deviation scaling for interacting diffusions

DOI10.1007/S10959-020-01071-4zbMATH Open1484.60028arXiv1907.07276OpenAlexW3120386494MaRDI QIDQ2116481FDOQ2116481

Amarjit Budhiraja, Michael Conroy

Publication date: 17 March 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: Consider a collection of particles whose state evolution is described through a system of interacting diffusions in which each particle is driven by an independent individual source of noise and also by a small amount of noise that is common to all particles. The interaction between the particles is due to the common noise and also through the drift and diffusion coefficients that depend on the state empirical measure. We study large deviation behavior of the empirical measure process which is governed by two types of scaling, one corresponding to mean field asymptotics and the other to the Freidlin-Wentzell small noise asymptotics. Different levels of intensity of the small common noise lead to different types of large deviation behavior, and we provide a precise characterization of the various regimes. We also study large deviation behavior of interacting particle systems approximating various types of Feynman-Kac functionals. Proofs are based on stochastic control representations for exponential functionals of Brownian motions and on uniqueness results for weak solutions of stochastic differential equations associated with controlled nonlinear Markov processes.

Full work available at URL: https://arxiv.org/abs/1907.07276

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zbMATH Keywords

large deviation principleweakly interacting diffusionsFeynman-Kac functionalsFreidlin-Wentzell asymptoticscontrolled McKean-Vlasov equationscontrolled nonlinear Markov processesmean field stochastic control problemsmean field systems with common noise

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Large deviations (60F10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited In (6)

• Large deviations of reflected weakly interacting particle systems
• Importance sampling for the empirical measure of weakly interacting diffusions
• Asymptotic behavior of stochastic currents under large deviation scaling with mean field interaction and vanishing noise
• On the form of the large deviation rate function for the empirical measures of weakly interacting systems
• Large deviations of Kac's conservative particle system and energy nonconserving solutions to the Boltzmann equation: a counterexample to the predicted rate function
• Large deviations for interacting multiscale particle systems

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