Persistence of random walk records

DOI10.1088/1751-8113/47/25/255002MaRDI QIDQ5169424zbMATH OpenOpenAlexFDO

Authors E. Ben-Naim, P. L. Krapivsky

Publication date 22 July 2014

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

Full work available at URL https://arxiv.org/abs/1404.2966

zbMATH Keywords

asymptoticsBrownian particlerandom walk record

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Sums of independent random variables; random walks (60G50) Brownian motion (60J65)

Abstract: We study records generated by Brownian particles in one dimension. Specifically, we investigate an ordinary random walk and define the record as the maximal position of the walk. We compare the record of an individual random walk with the mean record, obtained as an average over infinitely many realizations. We term the walk "superior" if the record is always above average, and conversely, the walk is said to be "inferior" if the record is always below average. We find that the fraction of superior walks, S, decays algebraically with time, S ~ t^(-beta), in the limit t --> infty, and that the persistence exponent is nontrivial, beta=0.382258.... The fraction of inferior walks, I, also decays as a power law, I ~ t^(-alpha), but the persistence exponent is smaller, alpha=0.241608.... Both exponents are roots of transcendental equations involving the parabolic cylinder function. To obtain these theoretical results, we analyze the joint density of superior walks with given record and position, while for inferior walks it suffices to study the density as function of position.

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(8)

• Brownian motion and random walk above quenched random wall
• Statistical properties of sites visited by independent random walks
• Deviations for weak record numbers in simple random walks
• Explicit laws for the records of the perturbed random walk on \(\mathbb{Z} \)
• Ages of records in random walks
• Record statistics of a strongly correlated time series: random walks and Lévy flights
• Universal survival probability for a correlated random walk and applications to records
• On sequences of records generated by planar random walks

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