Rare Events and Single Big Jump Effects in Ornstein-Uhlenbeck Processes

TL;DR

This paper develops a formalism to analyze the full distribution of time-integrated observables in Ornstein-Uhlenbeck processes, revealing a connection between anomalous large deviations, phase transitions, and the big jump effect.

Contribution

It introduces a comprehensive method to compute the distribution of time-integrated functionals in Ornstein-Uhlenbeck processes, linking anomalous scaling to the big jump principle.

Findings

Discovered a connection between anomalous rate functions and first-passage area statistics.

Analyzed the rate function exhibiting anomalous scaling and a dynamical phase transition.

Identified the big jump effect as the dominant mechanism for rare events in the process.

Abstract

Even in a simple stochastic process, the study of the full distribution of time integrated observables can be a difficult task. This is the case of a much-studied process such as the Ornstein-Uhlenbeck process where, recently, anomalous dynamical scaling of large deviations of time integrated functionals has been highlighted. Using the mapping of a continuous stochastic process to a continuous time random walk via the "excursions technique'', we introduce a comprehensive formalism that enables the calculation of the complete distribution of the time-integrated observable $A = \int_0^T v^n(t) dt$, where $n$ is a positive integer and $v(t)$ is the random velocity of a particle following Ornstein-Uhlenbeck dynamics. We reveal an interesting connection between the anomalous rate function associated with the observable $A$ and the statistics of the area under the first-passage functional during an excursion. The rate function of the latter, analyzed here for the first time, exhibits anomalous scaling behavior and a dynamical phase transition, both of which are explored in detail. The case of the anomalous scaling of large deviations, originally associated to the presence of an instantonic solution in the weak noise regime of a path integral approach, is here produced by a so called "big jump effect'', in which the contribution to rare events is dominated by the largest excursion. Our approach, which is quite general for continuous stochastic processes, allows to associate a physical meaning to the anomalous scaling of large deviations, through the big jump principle.