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Large deviations of reflected weakly interacting particle systems

Authors :
Cheng, Ping
Wei, Rong
Zhang, Tusheng
Publication Year :
2023

Abstract

In this paper, we prove a large deviation principle for the empirical measures of a system of weakly interacting diffusion with reflection. We adopt the weak convergence approach. To make this approach work, we show that the sequence of empirical measures of the controlled reflected system will converge to the weak solution of an associated reflected McKean--Vlasov equation.

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2304.00706
Document Type :
Working Paper