Large deviation properties of weakly interacting processes via weak convergence methods

DOI10.1214/10-AOP616zbMath1242.60026arXiv1009.6030OpenAlexW2131355869WikidataQ105577645 ScholiaQ105577645MaRDI QIDQ662424

Paul Dupuis, Amarjit Budhiraja, Markus Fischer

Publication date: 22 February 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.6030

zbMATH Keywords

stochastic differential equationweak convergencedelaylarge deviationsinteracting random processesmartingale problemoptimal stochastic controlMcKean-Vlasov equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Large deviations (60F10) Stochastic functional-differential equations (34K50) Convergence of probability measures (60B10)

Related Items

Extended mean field control problem: a propagation of chaos result, Moderate deviation principles for weakly interacting particle systems, 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, Large deviations for the empirical measure of a diffusion via weak convergence methods, 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, Mean field dynamics of a Wilson–Cowan neuronal network with nonlinear coupling term, Variational approach to coarse-graining of generalized gradient flows, Nonlinear diffusions and stable-like processes with coefficients depending on the median or var, Large deviations for neutral stochastic functional differential equations, Quenched large deviations for interacting diffusions in random media, Solving mean field rough differential equations, A new approach to large deviations for the Ginzburg-Landau model, From the master equation to mean field game limit theory: large deviations and concentration of measure, Limit Theory for Controlled McKean--Vlasov Dynamics, Importance sampling for McKean-Vlasov SDEs, Interacting stochastic processes on sparse random graphs, From fluctuating kinetics to fluctuating hydrodynamics: a \(\Gamma \)-convergence of large deviations functionals approach, Importance sampling for the empirical measure of weakly interacting diffusions, Large deviations for mean field model in Erdős-Rényi graph, The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities, Laplace principle for large population games with control interaction, Large deviations for interacting particle systems: joint mean-field and small-noise limit, Convergence in Monge-Wasserstein distance of mean field systems with locally Lipschitz coefficients, On the form of the large deviation rate function for the empirical measures of weakly interacting systems, Continuum approximations to systems of correlated interacting particles, Control systems of interacting objects modeled as a game against nature under a mean field approach, Moderate deviations for stochastic models of two-dimensional second grade fluids, Systems of small-noise stochastic reaction-diffusion equations satisfy a large deviations principle that is uniform over all initial data, Large deviations of the trajectory of empirical distributions of Feller processes on locally compact spaces, Mean field model for collective motion bistability, Large deviations for stochastic models of two-dimensional second grade fluids, Variational representations for continuous time processes, Moderate deviation and central limit theorem for stochastic differential delay equations with polynomial growth, On mean field systems with multi-classes, An emergent autonomous flow for mean-field spin glasses, Moderate deviations for stochastic fractional heat equation driven by fractional noise, Propagation of chaos for mean field rough differential equations, Large deviations for Brownian particle systems with killing, A law of large numbers and large deviations for interacting diffusions on Erdős–Rényi graphs, Large deviations principle for discrete-time mean-field games, Interacting diffusions on random graphs with diverging average degrees: hydrodynamics and large deviations, Large deviations of mean-field stochastic differential equations with jumps, Large deviations for interacting multiscale particle systems, McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations, Large Deviations for Additive Functionals of Reflected Jump-Diffusions, Asymptotic behavior of stochastic currents under large deviation scaling with mean field interaction and vanishing noise, Non-reversible processes: GENERIC, hypocoercivity and fluctuations, Empirical measure and small noise asymptotics under large deviation scaling for interacting diffusions, Large deviations for interacting diffusions with path-dependent McKean-Vlasov limit

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Schilder theorem for the Brownian motion on the diffeomorphism group of the circle
• Variational representations for continuous time processes
• A martingale approach to the law of large numbers for weakly interacting stochastic processes
• Large deviations for the two-dimensional Navier-Stokes equations with multiplicative noise
• Large deviations and a Kramers' type law for self-stabilizing diffusions
• Large deviations for infinite dimensional stochastic dynamical systems
• Large deviations for stochastic tamed 3D Navier-Stokes equations
• Large deviations for the Boussinesq equations under random influences
• Increasing propagation of chaos for mean field models
• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• A variational representation for certain functionals of Brownian motion
• Multilevel large deviations and interacting diffusions
• On large deviations for particle systems associated with spatially homogeneous Boltzmann type equations
• Large deviations for long range interacting particle systems with jumps
• Large deviations for hierarchical systems of interacting jump processes
• Large deviations for interacting particle systems: Applications to non-linear filtering
• Large deviations for Langevin spin glass dynamics
• Uniqueness for a weak nonlinear evolution equation and large deviations for diffusing particles with electrostatic repulsion
• A certain class of diffusion processes associated with nonlinear parabolic equations
• Methode de laplace: etude variationnelle des fluctuations de diffusions de type
• On the McKean-Vlasov Limit for Interacting Diffusions
• Large deviations from the mckean-vlasov limit for weakly interacting diffusions
• Real Analysis and Probability