Large deviations for interacting diffusions with path-dependent McKean-Vlasov limit
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Publication:2117459
DOI10.1214/21-AAP1692zbMATH Open1485.60027arXiv1912.00440OpenAlexW4283387116MaRDI QIDQ2117459FDOQ2117459
Authors: Rangel Baldasso, A. S. Pereira, Guilherme Reis 
Publication date: 21 March 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We consider a mean-field system of path-dependent stochastic interacting diffusions in random media over a finite time window. The interaction term is given as a function of the empirical measure and is allowed to be non-linear and path dependent. We prove that the sequence of empirical measures of the full trajectories satisfies a large deviation principle with explicit rate function. The minimizer of the rate function is characterized as the path-dependent McKean-Vlasov diffusion associated to the system. As corollary, we obtain a strong law of large numbers for the sequence of empirical measures. The proof is based on a decoupling technique by associating to the system a convenient family of product measures. To illustrate, we apply our results for the delayed stochastic Kuramoto model and for a SDE version of Galves-L"ocherbach model.
Full work available at URL: https://arxiv.org/abs/1912.00440
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Cited In (9)
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- Large deviations from the mckean-vlasov limit for weakly interacting diffusions
- Asymptotic behavior of stochastic currents under large deviation scaling with mean field interaction and vanishing noise
- Large deviations for diffusions interacting through their ranks
- McKean-Vlasov limit for interacting random processes in random media.
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