A Mean Field Game approach to Large Deviations for empirical measures under common noise

2023/10/12 by Mimikos-Stamatopoulos, Nikiforos
#91A16 (Primary) 60F10 (Secondary) #Analysis of PDEs (math.AP) #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2310.08033

Abstract

We present a Mean Field Game approach to obtain the rate function for the empirical measure of interacting particles under McKean-Vlasov dynamics. Although the result is well known, our approach relies on PDE methods and provides another example of the well known connection between Mean Field Games and Large Deviations.

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