Universal record statistics of random walks and Lévy flights

DOI10.1103/PHYSREVLETT.101.050601zbMATH Open1228.82037arXiv0806.0057OpenAlexW2163187896WikidataQ81913543 ScholiaQ81913543MaRDI QIDQ3107653FDOQ3107653

Authors: Satya N. Majumdar, R. M. Ziff 

Publication date: 26 December 2011

Published in: Physical Review Letters (Search for Journal in Brave)

Abstract: It is shown that statistics of records for time series generated by random walks are independent of the details of the jump distribution, as long as the latter is continuous and symmetric. In N steps, the mean of the record distribution grows as the sqrt(4N/pi) while the standard deviation grows as sqrt((2-4/pi) N), so the distribution is non-self-averaging. The mean shortest and longest duration records grow as sqrt(N/pi) and 0.626508... N, respectively. The case of a discrete random walker is also studied, and similar asymptotic behavior is found.

Full work available at URL: https://arxiv.org/abs/0806.0057

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Mathematics Subject Classification ID

Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

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Cited In (49)

• Fluctuations of Mean-Square Displacement in Presence of Traps: Non-Self-Averaging versus Ensemble Averaging
• Random convex hulls and extreme value statistics
• Records and sequences of records from random variables with a linear trend
• Sharma-Mittal Entropy Properties on Record Values
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• Modeling record-breaking stock prices
• Universal survival probability for a correlated random walk and applications to records
• Scaling exponent for incremental records
• Universal record statistics for random walks and Lévy flights with a nonzero staying probability
• Record statistics of integrated random walks and the random acceleration process
• Records from stationary observations subject to a random trend
• Hausdorff dimension of the record set of a fractional Brownian motion
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• Universal fluctuations in the support of the random walk
• Extreme value statistics of correlated random variables: a pedagogical review
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• Records in the classical and quantum standard map
• Record statistics and persistence for a random walk with a drift
• Exact and asymptotic properties of δ-records in the linear drift model
• Survival probability of a run-and-tumble particle in the presence of a drift
• Record statistics for random walk bridges
• Statistics of the longest interval in renewal processes
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• Record statistics for random walks and Lévy flights with resetting
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• Statistics of the number of records for random walks and Lévy flights on a 1D lattice
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• On multidimensional record patterns
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• Extreme value statistics of ergodic Markov processes from first passage times in the large deviation limit
• The cost of stochastic resetting

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