Fast Rare Events in Exit Times Distributions of Jump Processes
A. Vezzani, Raffaella Burioni
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 timescales orders of magnitude smaller than the typical timescale of the process can make a significant contribution to the exit probability. Our results are confirmed by extensive numerical simulations.