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Register a new userRare events in stochastic processes with sub-exponential distributions and the Big Jump principle
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Rare events in stochastic processes with heavy-tailed distributions are controlled by the big jump principle, which states that a rare large fluctuation is produced by a single event and not by an accumulation of coherent small deviations. The principle has been rigorously proved for sums of independent and identically distributed random variables and it has recently been extended to more complex stochastic processes involving Levy distributions, such as Levy walks and the Levy-Lorentz gas, using an effective rate approach. We review the general rate formalism and we extend its applicability to continuous time random walks and to the Lorentz gas, both with stretched exponential distributions, further enlarging its applicability. We derive an analytic form for the probability density functions for rare events in the two models, which clarify specific properties of stretched exponentials.
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The prediction and control of rare events is an important task in disciplines that range from physics and biology, to economics and social science. The Big Jump principle deals with a peculiar aspect of the mechanism that drives rare events. According to the principle, in heavy-tailed processes a rare huge fluctuation is caused by a single event and not by the usual coherent accumulation of small deviations. We consider generalized Levy walks, a class of stochastic processes with power law distributed step durations, which model complex microscopic dynamics in the single stretch. We derive the bulk of the probability distribution and using the big jump principle, the exact form of the tails that describes rare events. We show that the tails of the distribution present non-universal and non-analytic behaviors, which depend crucially on the dynamics of the single step. The big jump estimate also provides a physical explanation of the processes driving the rare events, opening new possibilities for their correct prediction.
The big jump principle is a well established mathematical result for sums of independent and identically distributed random variables extracted from a fat tailed distribution. It states that the tail of the distribution of the sum is the same as the distribution of the largest summand. In practice, it means that when in a stochastic process the relevant quantity is a sum of variables, the mechanism leading to rare events is peculiar: instead of being caused by a set of many small deviations all in the same direction, one jump, the biggest of the lot, provides the main contribution to the rare large fluctuation. We reformulate and elevate the big jump principle beyond its current status to allow it to deal with correlations, finite cutoffs, continuous paths, memory and quenched disorder. Doing so we are able to predict rare events using the extended big jump principle in Levy walks, in a model of laser cooling, in a scattering process on a heterogeneous structure and in a class of Levy walks with memory. We argue that the generalized big jump principle can serve as an excellent guideline for reliable estimates of risk and probabilities of rare events in many complex processes featuring heavy tailed distributions, ranging from contamination spreading to active transport in the cell.
Large deviation theory and instanton calculus for stochastic systems are widely used to gain insight into the evolution and probability of rare events. At its core lies the realization that rare events are, under the right circumstances, dominated by their least unlikely realization. Their computation through a saddle-point approximation of the path integral for the corresponding stochastic field theory then reduces an inefficient stochastic sampling problem into a deterministic optimization problem: finding the path of smallest action, the instanton. In the presence of heavy tails, though, standard algorithms to compute the instanton critically fail to converge. The reason for this failure is the divergence of the scaled cumulant generating function (CGF) due to a non-convex large deviation rate function. We propose a solution to this problem by convexifying the rate function through nonlinear reparametrization of the observable, which allows us to compute instantons even in the presence of super-exponential or algebraic tail decay. The approach is generalizable to other situations where the existence of the CGF is required, such as exponential tilting in importance sampling for Monte-Carlo algorithms. We demonstrate the proposed formalism by applying it to rare events in several stochastic systems with heavy tails, including extreme power spikes in fiber optics induced by soliton formation.
Recently, a first step was made by the authors towards a systematic investigation of the effect of reaction-step-size noise - uncertainty in the step size of the reaction - on the dynamics of stochastic populations. This was done by investigating the effect of bursty influx on the switching dynamics of stochastic populations. Here we extend this formalism to account for bursty reproduction processes, and improve the accuracy of the formalism to include subleading-order corrections. Bursty reproduction appears in various contexts, where notable examples include bursty viral production from infected cells, and reproduction of mammals involving varying number of offspring. The main question we quantitatively address is how bursty reproduction affects the overall fate of the population. We consider two complementary scenarios: population extinction and population survival; in the former a population gets extinct after maintaining a long-lived metastable state, whereas in the latter a population proliferates despite undergoing a deterministic drift towards extinction. In both models reproduction occurs in bursts, sampled from an arbitrary distribution. In the extinction problem, we show that bursty reproduction broadens the quasi-stationary distribution of population sizes in the metastable state, which results in an exponential decrease of the mean time to extinction. In the survival problem, bursty reproduction yields an exponential increase in survival probability of the population. Close to the bifurcation limit our analytical results simplify considerably and are shown to depend solely on the mean and variance of the burst-size distribution. Our formalism is demonstrated on several realistic distributions which all compare well with numerical Monte-Carlo simulations.
In a growing number of strongly disordered and dense systems, the dynamics of a particle pulled by an external force field exhibits super-diffusion. In the context of glass forming systems, super cooled glasses and contamination spreading in porous medium it was suggested to model this behavior with a biased continuous time random walk. Here we analyze the plume of particles far lagging behind the mean, with the single big jump principle. Revealing the mechanism of the anomaly, we show how a single trapping time, the largest one, is responsible for the rare fluctuations in the system. These non typical fluctuations still control the behavior of the mean square displacement, which is the most basic quantifier of the dynamics in many experimental setups. We show how the initial conditions, describing either stationary state or non-equilibrium case, persist for ever in the sense that the rare fluctuations are sensitive to the initial preparation. To describe the fluctuations of the largest trapping time, we modify Fr{e}chets law from extreme value statistics, taking into consideration the fact that the large fluctuations are very different from those observed for independent and identically distributed random variables.
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