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arXiv · 2410.04935

Quasi-continuity method for mean-field diffusions: large deviations and central limit theorem

Louis-Pierre Chaintron
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Abstract

A pathwise large deviation principle in the Wasserstein topology and a pathwise central limit theorem are proved for the empirical measure of a mean-field system of interacting diffusions. The coefficients are path-dependent. The framework allows for degenerate diffusion matrices, which may depend on the empirical measure, including mean-field kinetic processes. The main tool is an extension of Tanaka's pathwise construction to non-constant diffusion matrices. This can be seen as a mean-field analogous of Azencott's quasi-continuity method for the Freidlin-Wentzell theory. As a by-product, uniform-in-time-step fluctuation and large deviation estimates are proved for a discrete-time version of the meanfield system. Uniform-in-time-step convergence is also proved for the value function of some mean-field control problems with quadratic cost.

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Louis-Pierre Chaintron. 2024-10-09. Quasi-continuity method for mean-field diffusions: large deviations and central limit theorem. https://arxiv.org/abs/2410.04935

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