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

DOI10.3150/13-BEJ540zbMATH Open1327.60070arXiv1208.0472MaRDI QIDQ470049FDOQ470049

Authors: Markus Fischer 

Publication date: 11 November 2014

Published in: Bernoulli (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1208.0472

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zbMATH Keywords

large deviationsrelative entropyWiener measuremean field interactionparticle systemempirical measureLaplace principleSanov's theorem

Mathematics Subject Classification ID

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

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Cited In (19)

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• Causal transport plans and their Monge-Kantorovich problems
• Large deviation rate functions for the partition function in a log-gamma distributed random potential

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