Large deviations, condensation, and giant response in a statistical system

Abstract: We study the probability distribution $P$ of the sum of a large number of non-identically distributed random variables $n_m$. Condensation of fluctuations, the phenomenon whereby one of such variables provides a macroscopic contribution to the global probability, is discussed and interpreted in analogy to phase-transitions in Statistical Mechanics. A general expression for $P$ is derived, and its sensitivity to the details of the distribution of a single $n_m$ is worked out. These general results are verified by the analytical and numerical solution of some specific examples.