Large deviations of a long-time average in the Ehrenfest urn model

Abstract

Since its inception in 1907, the Ehrenfest urn model (EUM) has served as a test bed of key concepts of statistical mechanics. Here we employ this model to study large deviations of a time-additive quantity. We consider two continuous-time versions of the EUM with K urns and N balls: with and without interactions between the balls in the same urn. We evaluate the probability distribution that the average number of balls in one urn over time T, , takes any specified value aN, where . For long observation time, , a Donsker–Varadhan large deviation principle holds: , where … denote additional parameters of the model. We calculate the rate function exactly by two different methods due to Donsker and Varadhan and compare the exact results with those obtained with a variant of WKB approximation (after Wentzel, Kramers and Brillouin). In the absence of interactions the WKB prediction for is exact for any N. In the presence of interactions the WKB method gives asymptotically exact results for . The WKB method also uncovers the (very simple) time history of the system which dominates the contribution of different time histories to .