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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.
We study the time until first occurrence, the first-passage time, of rare density fluctuations in diffusive systems. We approach the problem using a model consisting of many independent random walkers on a lattice. The existence of spatial correlatio
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 princi
Starting from a master equation, we derive the evolution equation for the size distribution of elements in an evolving system, where each element can grow, divide into two, and produce new elements. We then probe general solutions of the evolution qu
In a microcanonical ensemble (constant $NVE$, hard reflecting walls) and in a molecular dynamics ensemble (constant $NVEmathbf{PG}$, periodic boundary conditions) with a number $N$ of smooth elastic hard spheres in a $d$-dimensional volume $V$ having
The granular Leidenfrost effect (B. Meerson et al, Phys. Rev. Lett. {bf 91}, 024301 (2003), P. Eshuis et al, Phys. Rev. Lett. {bf 95}, 258001 (2005)) is the levitation of a mass of granular matter when a wall below the grains is vibrated giving rise