Recently, dynamical phase transitions have been identified based on the nonanalytic behavior of the Loschmidt echo in the thermodynamic limit [Heyl et al., Phys. Rev. Lett. 110, 135704 (2013)]. By introducing conditional probability amplitudes, we show how dynamical phase transitions can be further classified, both mathematically, and potentially in experiment. This leads to the definition of first-order dynamical phase transitions. Furthermore, we develop a generalized Keldysh formalism which allows us to use nonequilibrium dynamical mean-field theory to study the Loschmidt echo and dynamical phase transitions in high-dimensional, nonintegrable models. We find dynamical phase transitions of first order in the Falicov-Kimball model and in the Hubbard model.
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