Anomalous scaling and first-order dynamical phase transition in large deviations of the Ornstein-Uhlenbeck process

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Abstract

We study the full distribution of A=∫0Txn(t)dt, n=1,2, », where x(t) is an Ornstein-Uhlenbeck process. We find that for n>2 the long-time (T→∞) scaling form of the distribution is of the anomalous form P(A;T)∼e-Tμfn(ΔA/Tν) where ΔA is the difference between A and its mean value, and the anomalous exponents are μ=2/(2n-2) and ν=n/(2n-2). The rate function fn(y), which we calculate exactly, exhibits a first-order dynamical phase transition which separates between a homogeneous phase that describes the Gaussian distribution of typical fluctuations, and a "condensed"phase that describes the tails of the distribution. We also calculate the most likely realizations of A(t)=∫0txn(s)ds and the distribution of x(t) at an intermediate time t conditioned on a given value of A. Extensions and implications to other continuous-time systems are discussed.

Original languageEnglish
Article number014120
JournalPhysical Review E
Volume105
Issue number1
DOIs
StatePublished - 1 Jan 2022

ASJC Scopus subject areas

  • Statistical and Nonlinear Physics
  • Statistics and Probability
  • Condensed Matter Physics

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