Universal Record Statistics of Random Walks and Lévy Flights
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Publication:3107653
DOI10.1103/PHYSREVLETT.101.050601zbMATH Open1228.82037arXiv0806.0057OpenAlexW2163187896WikidataQ81913543 ScholiaQ81913543MaRDI QIDQ3107653FDOQ3107653
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
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 (40)
- 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
- 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
- Non-self-averaging of the concentration: trapping by sinks in the fluctuation regime
- Universal fluctuations in the support of the random walk
- Extreme value statistics of correlated random variables: a pedagogical review
- Records in the classical and quantum standard map
- 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
- Record statistics of a strongly correlated time series: random walks and Lévy flights
- Survival probability of random walks and Lévy flights on a semi-infinite line
- Empirical scaling of the length of the longest increasing subsequences of random walks
- Time since maximum of Brownian motion and asymmetric Lévy processes
- Survival probability of random walks and Lévy flights with stochastic resetting
- Reaction–diffusion on the fully-connected lattice: $A+A\rightarrow A$
- A Reciprocal Formulation of Nonexponential Radiative Transfer. 2: Monte Carlo Estimation and Diffusion Approximation
- Record statistics for random walks and Lévy flights with resetting
- Correlations between record events in sequences of random variables with a linear trend
- Maximum and records of random walks with stochastic resetting
- Extreme value statistics of positive recurrent centrally biased random walks
- Sharper asset ranking from total drawdown durations
- Record statistics for a discrete-time random walk with correlated steps
- Longest interval between zeros of the tied-down random walk, the Brownian bridge and related renewal processes
- Infection process near criticality: influence of the initial condition
- Statistics of the number of records for random walks and Lévy flights on a 1D lattice
- Ages of records in random walks
- Fluctuations of Mean-Square Displacement in Presence of Traps: Non-Self-Averaging versus Ensemble Averaging
- On multidimensional record patterns
- Universal first-passage properties of discrete-time random walks and Lévy flights on a line: statistics of the global maximum and records
- 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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