Anatomy of an extreme event: What can we infer about the history of a heavy-tailed random walk?

Abstract

Extreme events are by nature rare and difficult to predict, yet are often much more important than frequent, typical events. An interesting counterpoint to the prediction of such events is their retrodiction -- given a process in an outlier state, how did the events leading up to this endpoint unfold? In particular, was there only a single, massive event, or was the history a composite of multiple, smaller but still significant events? To investigate this problem we take heavy-tailed stochastic processes (specifically,the symmetric, $α$-stable Lévy processes) as prototypical random walks. A natural and useful characteristic scale arises from the analysis of processes conditioned to arrive in a particular final state (Lévy bridges). For final displacements longer than this scale, the scenario of a single, long jump is most likely, even though it corresponds to a rare, extreme event. On the other hand, for small final displacements, histories involving extreme events tend to be suppressed. To further illustrate the utility of this analysis, we show how it provides an intuitive framework for understanding three problems related to boundary crossings of heavy-tailed processes. These examples illustrate how intuition fails to carry over from diffusive processes, even very close to the Gaussian limit. One example yields a computationally and conceptually useful representation of Lévy bridges that illustrates how conditioning impacts the extreme-event content of a random walk. The other examples involve the conditioned boundary-crossing problem and the ordinary first-escape problem; we discuss the observability of the latter example in experiments with laser-cooled atoms.