Maxima of two random walks: universal statistics of lead changes

DOI10.1088/1751-8113/49/20/205003MaRDI QIDQ2991912zbMATH OpenOpenAlexFDO

Authors E. Ben-Naim, P. L. Krapivsky, Julien Randon-Furling

Publication date 10 August 2016

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

Full work available at URL https://arxiv.org/abs/1601.02051

zbMATH Keywords

Lévy flightsrandom walksstatistics of maxima

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)

Abstract: We investigate statistics of lead changes of the maxima of two discrete-time random walks in one dimension. We show that the average number of lead changes grows as $p{i}^{-1}ln(t)$ in the long-time limit. We present theoretical and numerical evidence that this asymptotic behavior is universal. Specifically, this behavior is independent of the jump distribution: the same asymptotic underlies standard Brownian motion and symmetric Levy flights. We also show that the probability to have at most n lead changes behaves as $t^{-1/4}[lnt{]}^n$ for Brownian motion and as $$ for symmetric Levy flights with index $mu$. The decay exponent $$ varies continuously with the Levy index when $0<mu<2$, while $$ for $mu>2$.

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