First gap statistics of long random walks with bounded jumps

DOI10.1088/1751-8121/AA65F2MaRDI QIDQ5269474zbMATH OpenOpenAlexFDO

Authors Philippe Mounaix, Grégory Schehr

Publication date 16 June 2017

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.03202

zbMATH Keywords

extreme value statisticsorder statisticsrandom walks

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Extreme value theory; extremal stochastic processes (60G70) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41)

Abstract: We study one-dimensional discrete as well as continuous time random walks, either with a fixed number of steps (for discrete time) $n$ or on a fixed time interval $T$ (for continuous time). In both cases, we focus on symmetric probability distribution functions (PDF) of jumps with a finite support $[-g_{max},g_{max}]$. For continuous time random walks (CTRWs), the waiting time $au$ between two consecutive jumps is a random variable whose probability distribution (PDF) has a power law tail $Psi(au)proptoa{u}^{-1-gamma}$, with $0<gamma<1$. We obtain exact results for the joint statistics of the gap between the first two maximal positions of the random walk and the time elapsed between them. We show that for large $n$ (or large time $T$ for CTRW), this joint PDF reaches a stationary joint distribution which exhibits an interesting concentration effect in the sense that a gap close to its maximum possible value, $gapprox{g}_{max}$, is much more likely to be achieved by two successive jumps rather than by a long walk between the first two maxima. Our numerical simulations confirm this concentration effect.

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Cites work

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Cited in

(8)

• Limit theorems for random walks that avoid bounded sets, with applications to the largest gap problem
• Extreme value statistics of correlated random variables: a pedagogical review
• On the gap and time interval between the first two maxima of long random walks
• On the gap and time interval between the first two maxima of long continuous time random walks
• Survival probability of random walks and Lévy flights on a semi-infinite line
• Gap statistics close to the quantile of a random walk
• Universal gap statistics for random walks for a class of jump densities
• Record statistics of a strongly correlated time series: random walks and Lévy flights

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