A  phase transition of order k is mathematically characterized by a loss of regularity of free energy f: f is k-1 differentiable but not k differentiable. There are many examples of first and second order phase transitions in experiments and in models. There are also cases where f is C^{\infty} but not analytic (Griffith singularities).

But are their known example of phase transition of order k, k>2 ?

A third order phase transition would mean that quantities like susceptibility or heat capacity are not differentiable with respect to parameters variations. But I have no idea of what this means physically.

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