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arxiv: 1709.03953 · v3 · pith:4NFI4BIMnew · submitted 2017-09-12 · ❄️ cond-mat.stat-mech · cond-mat.soft

Sampling rare fluctuations of discrete-time Markov chains

classification ❄️ cond-mat.stat-mech cond-mat.soft
keywords markovchainsfluctuationsdiscrete-timefunctionsmethodraresimple
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We describe a simple method that can be used to sample the rare fluctuations of discrete-time Markov chains. We focus on the case of Markov chains with well-defined steady-state measures, and derive expressions for the large-deviation rate functions (and upper bounds on such functions) for dynamical quantities extensive in the length of the Markov chain. We illustrate the method using a series of simple examples, and use it to study the fluctuations of a lattice-based model of active matter that can undergo motility-induced phase separation.

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