A numerical approach to large deviations in continuous time

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Published 2 March 2007 IOP Publishing Ltd
, , Citation Vivien Lecomte and Julien Tailleur J. Stat. Mech. (2007) P03004 DOI 10.1088/1742-5468/2007/03/P03004

1742-5468/2007/03/P03004

Abstract

We present an algorithm to evaluate large deviation functions associated to history-dependent observables. Instead of relying on a time discretization procedure to approximate the dynamics, we provide a direct continuous-time algorithm valuable for systems with multiple timescales, thus extending the work of Giardinà, Kurchan and Peliti (2006 Phys. Rev. Lett. 96   120603).

The procedure is supplemented with a thermodynamic-integration scheme which improves its efficiency. We also show how the method can be used to probe large deviation functions in systems with a dynamical phase transition—revealed in our context through the appearance of a non-analyticity in the large deviation functions.

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