Large deviation properties of weakly interacting processes via weak convergence methods
From MaRDI portal
Publication:662424
DOI10.1214/10-AOP616zbMATH Open1242.60026arXiv1009.6030OpenAlexW2131355869WikidataQ105577645 ScholiaQ105577645MaRDI QIDQ662424FDOQ662424
Authors: Amarjit Budhiraja, Paul Dupuis, Markus Fischer 
Publication date: 22 February 2012
Published in: The Annals of Probability (Search for Journal in Brave)
Abstract: We study large deviation properties of systems of weakly interacting particles modeled by It^{o} stochastic differential equations (SDEs). It is known under certain conditions that the corresponding sequence of empirical measures converges, as the number of particles tends to infinity, to the weak solution of an associated McKean-Vlasov equation. We derive a large deviation principle via the weak convergence approach. The proof, which avoids discretization arguments, is based on a representation theorem, weak convergence and ideas from stochastic optimal control. The method works under rather mild assumptions and also for models described by SDEs not of diffusion type. To illustrate this, we treat the case of SDEs with delay.
Full work available at URL: https://arxiv.org/abs/1009.6030
Recommendations
- scientific article; zbMATH DE number 1153603
- Large deviations for some weakly dependent random processes
- Large deviations for multiscale diffusion via weak convergence methods
- Large deviations for the empirical measure of a diffusion via weak convergence methods
- Weak Gibbs measures and large deviations
- scientific article; zbMATH DE number 4060426
- On the large deviation principle for stationary weakly dependent random fields
- Weak convergence of stochastic processes. With applications to statistical limit theorems
delaylarge deviationsstochastic differential equationweak convergenceoptimal stochastic controlmartingale problemMcKean-Vlasov equationinteracting random processes
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) Stochastic functional-differential equations (34K50)
Cites Work
- Title not available (Why is that?)
- Real Analysis and Probability
- Weak convergence methods and singularly perturbed stochastic control and filtering problems
- A variational representation for certain functionals of Brownian motion
- A variational representation for positive functionals of infinite dimensional Brownian motion
- Large deviations for stochastic processes.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Schilder theorem for the Brownian motion on the diffeomorphism group of the circle
- Large deviations for infinite dimensional stochastic dynamical systems
- Large deviations for the Boussinesq equations under random influences
- A certain class of diffusion processes associated with nonlinear parabolic equations
- Title not available (Why is that?)
- Large deviations for the two-dimensional Navier-Stokes equations with multiplicative noise
- Large deviations for stochastic tamed 3D Navier-Stokes equations
- Large deviations from the mckean-vlasov limit for weakly interacting diffusions
- Title not available (Why is that?)
- A martingale approach to the law of large numbers for weakly interacting stochastic processes
- Large deviations and a Kramers' type law for self-stabilizing diffusions
- Large deviations for Langevin spin glass dynamics
- Methode de laplace: etude variationnelle des fluctuations de diffusions de type
- Large deviations for long range interacting particle systems with jumps
- Variational representations for continuous time processes
- On the McKean-Vlasov Limit for Interacting Diffusions
- Increasing propagation of chaos for mean field models
- Large deviations for interacting particle systems: Applications to non-linear filtering
- On large deviations for particle systems associated with spatially homogeneous Boltzmann type equations
- Uniqueness for a weak nonlinear evolution equation and large deviations for diffusing particles with electrostatic repulsion
- Multilevel large deviations and interacting diffusions
- Large deviations for hierarchical systems of interacting jump processes
Cited In (60)
- The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities
- Convergence in Monge-Wasserstein distance of mean field systems with locally Lipschitz coefficients
- Large deviations for multiscale diffusion via weak convergence methods
- Large deviations from the mckean-vlasov limit for weakly interacting diffusions
- Strongly correlated random interacting processes. Abstracts from the workshop held January 28 -- February 3, 2018
- A new approach to large deviations for the Ginzburg-Landau model
- Propagation of chaos for mean field rough differential equations
- Large deviations for interacting diffusions with path-dependent McKean-Vlasov limit
- Extended mean field control problem: a propagation of chaos result
- Interacting diffusions on random graphs with diverging average degrees: hydrodynamics and large deviations
- A Note on Weak Convergence, Large Deviations, and the Bounded Approximation Property
- Large Deviations for Additive Functionals of Reflected Jump-Diffusions
- Systems of small-noise stochastic reaction-diffusion equations satisfy a large deviations principle that is uniform over all initial data
- Mean field model for collective motion bistability
- Limit theory for controlled McKean-Vlasov dynamics
- A representation of the relative entropy with respect to a diffusion process in terms of its infinitesimal generator
- The enhanced Sanov theorem and propagation of chaos
- On the form of the large deviation rate function for the empirical measures of weakly interacting systems
- A law of large numbers and large deviations for interacting diffusions on Erdős-Rényi graphs
- An emergent autonomous flow for mean-field spin glasses
- Large deviations for stochastic models of two-dimensional second grade fluids
- Large deviations for finite state Markov jump processes with mean-field interaction via the comparison principle for an associated Hamilton-Jacobi equation
- Discrete-time control for systems of interacting objects with unknown random disturbance distributions: a mean field approach
- Variational approach to coarse-graining of generalized gradient flows
- Large deviations for the empirical measure of a diffusion via weak convergence methods
- Mean field dynamics of a Wilson-Cowan neuronal network with nonlinear coupling term
- Solving mean field rough differential equations
- From fluctuating kinetics to fluctuating hydrodynamics: a \(\Gamma \)-convergence of large deviations functionals approach
- Large deviations for Brownian particle systems with killing
- Moderate deviation principles for weakly interacting particle systems
- Moderate deviations for stochastic fractional heat equation driven by fractional noise
- Moderate deviations for stochastic models of two-dimensional second grade fluids
- A law of large numbers for interacting diffusions via a mild formulation
- Continuum approximations to systems of correlated interacting particles
- Variational representations for continuous time processes
- Large deviations of mean-field stochastic differential equations with jumps
- Large deviations principle for discrete-time mean-field games
- Weak convergence of the empirical process of intermittent maps in 𝕃2 under long-range dependence
- From the master equation to mean field game limit theory: large deviations and concentration of measure
- Importance sampling for McKean-Vlasov SDEs
- Large deviations for interacting particle systems: joint mean-field and small-noise limit
- Large deviations of the trajectory of empirical distributions of Feller processes on locally compact spaces
- Quenched large deviations for interacting diffusions in random media
- Control systems of interacting objects modeled as a game against nature under a mean field approach
- Nonlinear diffusions and stable-like processes with coefficients depending on the median or var
- On mean field systems with multi-classes
- Moderate deviation and central limit theorem for stochastic differential delay equations with polynomial growth
- Large deviations for interacting multiscale particle systems
- Empirical measure and small noise asymptotics under large deviation scaling for interacting diffusions
- McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
- Large deviations for neutral stochastic functional differential equations
- Large deviations of reflected weakly interacting particle systems
- Importance sampling for the empirical measure of weakly interacting diffusions
- Moderate deviations for fully coupled multiscale weakly interacting particle systems
- Asymptotic behavior of stochastic currents under large deviation scaling with mean field interaction and vanishing noise
- Non-reversible processes: GENERIC, hypocoercivity and fluctuations
- Large deviations for mean field model in Erdős-Rényi graph
- Laplace principle for large population games with control interaction
- Macroscopic fluctuation theory for Ginzburg-Landau dynamics with long-range interactions
- Interacting stochastic processes on sparse random graphs
This page was built for publication: Large deviation properties of weakly interacting processes via weak convergence methods
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q662424)
