Fast rare events in exit times distributions of jump processes

Abstract

Rare events in the first-passage distributions of jump processes are capable of triggering anomalous reactions or series of events. Estimating their probability is particularly important when the jump probabilities have broad-tailed distributions, and rare events are therefore not so rare. We formulate a general approach for estimating the contribution of fast rare events to the exit probabilities in the presence of fat tailed distributions. Using this approach, we study three jump processes that are used to model a wide class of phenomena ranging from biology to transport in disordered systems, ecology and finance: discrete time random-walks, Lévy walks and the Lévy-Lorentz gas. We determine the exact form of the scaling function for the probability distribution of fast rare events, in which the jump process exits from an interval in a very short time at a large distance opposite to the starting point. In particular, we show that events occurring on time scales orders of magnitude smaller than the typical time scale of the process can make a significant contribution to the exit probability. Our results are confirmed by extensive numerical simulations.

6 pages, 4 figures

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• Lévy walks
• Fluctuation-Dissipation: Response Theory in Statistical Physics
• Light fields in complex media: mesoscopic scattering meets wave control
• First detected arrival of a quantum walker on an infinite line
• Nonalgebraic length dependence of transmission through a chain of barriers with a Levy spacing distribution
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• Beyond the Big Jump: A Perturbative Approach to Stretched-Exponential Processes
• Rare Events and Redundancy in Random Walkers Target Search in a Finite Domain
• Mean first passage times of higher-dimensional velocity jump processes
• Transition in Splitting Probabilities of Quantum Walks