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Quantitative concentration inequalities onsample path space for mean field interaction
Published online by Cambridge University Press: 29 July 2010
Abstract
We consider the approximation of a mean field stochastic process by a large interacting particle system. We derive non-asymptotic large deviation bounds measuring the concentration of the empirical measure of the paths of the particles around the law of the process. The method is based on a coupling argument, strong integrability estimates on the paths in Hölder norm, and a general concentration result for the empirical measure of identically distributed independent paths.
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- © EDP Sciences, SMAI, 2010
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