Path integral derivation and numerical computation of large deviation prefactors for non-equilibrium dynamics through matrix Riccati equations

DOI10.1007/S10955-022-02983-7zbMATH Open1497.60029arXiv2108.06916OpenAlexW3195498616WikidataQ114225295 ScholiaQ114225295MaRDI QIDQ2675352FDOQ2675352

Authors: F. Bouchet, Julien Reygner 

Publication date: 23 September 2022

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: For many non-equilibrium dynamics driven by small noise, in physics, chemistry, biology, or economy, rare events do matter. Large deviation theory then explains that the leading order term of the main statistical quantities have an exponential behavior. The exponential rate is often obtained as the infimum of an action, which is minimized along an instanton. In this paper, we consider the computation of the next order sub-exponential prefactors, which are crucial for a large number of applications. Following a path integral approach, we derive the dynamics of the Gaussian fluctuations around the instanton and compute from it the sub-exponential prefactors. As might be expected, the formalism leads to the computation of functional determinants and matrix Riccati equations. By contrast with the cases of equilibrium dynamics with detailed balance or generalized detailed balance, we stress the specific non locality of the solutions of the Riccati equation: the prefactors depend on fluctuations all along the instanton and not just at its starting and ending points. We explain how to numerically compute the prefactors. The case of statistically stationary quantities requires considerations of non trivial initial conditions for the matrix Riccati equation.

Full work available at URL: https://arxiv.org/abs/2108.06916

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zbMATH Keywords

stochastic differential equationsrare eventsmatrix Riccati equationslarge deviation theorynon-equilibrium statistical physicsArrhenius lawsub-exponential prefactors

Mathematics Subject Classification ID

Large deviations (60F10) Applications of statistics to physics (62P35) Matrix equations and identities (15A24) Numerical methods for matrix equations (65F45)

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Cited In (3)

• Gel’fand–Yaglom type equations for calculating fluctuations around instantons in stochastic systems
• Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
• Symmetries and zero modes in sample path large deviations

Uses Software

• EfficientJetMarcher

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