Quantitative concentration inequalities on sample path space for mean field interaction
Bolley, François (2010), Quantitative concentration inequalities on sample path space for mean field interaction, ESAIM. Probability and Statistics, 14, p. 192-209. http://dx.doi.org/10.1051/ps:2008033
TypeArticle accepté pour publication ou publié
Journal nameESAIM. Probability and Statistics
Cambridge University Press
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Abstract (EN)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.
Subjects / KeywordsMean field limits; particle approximation; transportation inequalities
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