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

DOI10.3150/13-BEJ540MaRDI QIDQ470049zbMATH OpenFDO

Authors Markus Fischer

Publication date 11 November 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.0472, https://projecteuclid.org/euclid.bj/1411134444

zbMATH Keywords

empirical measureLaplace principlelarge deviationsmean field interactionparticle systemrelative entropySanov's theoremWiener measure

Mathematics Subject Classification ID

Large deviations (60F10) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Abstract: 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 relative entropy with respect to the common distribution. Large deviation principles for the empirical measures are also known to hold for broad classes of weakly interacting systems. When the interaction through the empirical measure corresponds to an absolutely continuous change of measure, the rate function can be expressed as relative entropy of a distribution with respect to the law of the McKean-Vlasov limit with measure-variable frozen at that distribution. We discuss situations, beyond that of tilted distributions, in which a large deviation principle holds with rate function in relative entropy form.

Review text

``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.

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Cited in

(21)

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