[Random] Seminario di Probabilita' a RM1

Giovedi' 18 Gennaio, ore 12.00, Aula C

Speaker: M. Maurelli (WIAS, Berlin)

Title: Enhanced Sanov theorem for Brownian rough paths and an application to interacting particles

Abstract: We establish a Sanov type large deviation principle for an ensemble of interacting Brownian rough paths. As application a large deviations principle for the (k-layer, enhanced) empirical measure of weakly interacting diffusions is obtained. This in turn implies a propagation of chaos result in rough path spaces and allows for a robust subsequent analysis of the particle system and its McKean-Vlasov type limit. The talk is based on a work in collaboration with J.D. Deuschel, P. Friz and M. Slowik