Universal gap statistics for random walks for a class of jump densities

zbMATH Open1457.60062arXiv1711.08744MaRDI QIDQ5124138FDOQ5124138

Authors: Matteo Battilana, Satya N. Majumdar, Grégory Schehr 

Publication date: 17 September 2020

Abstract: We study the order statistics of a random walk (RW) of $n$ steps whose jumps are distributed according to symmetric Erlang densities $f_p(eta)sim|eta{|}^p,e^{-|eta|}$, parametrized by a non-negative integer $p$. Our main focus is on the statistics of the gaps $d_{k,n}$ between two successive maxima $d_{k,n}=M_{k,n}-M_{k+1,n}$ where $M_{k,n}$ is the $k$-th maximum of the RW between step 1 and step $n$. In the limit of large $n$, we show that the probability density function of the gaps $P_{k,n}(Delta)=Pr(d_{k,n}=Delta)$ reaches a stationary density $P_{k,n}(Delta)o{p}_k(Delta)$. For large $k$, we demonstrate that the typical fluctuations of the gap, for $d_{k,n}=O(1/sqrtk)$ (and $noinfty$), are described by a non-trivial scaling function that is independent of $k$ and of the jump probability density function $f_p(eta)$, thus corroborating our conjecture about the universality of the regime of typical fluctuations (see G. Schehr, S. N. Majumdar, Phys. Rev. Lett. 108, 040601 (2012)). We also investigate the large fluctuations of the gap, for $d_{k,n}=O(1)$ (and $noinfty$), and show that these two regimes of typical and large fluctuations of the gaps match smoothly.

Full work available at URL: https://arxiv.org/abs/1711.08744

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zbMATH Keywords

extreme value theoryorder statisticsrandom walks

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41)

Cited In (3)

• Universal order statistics for random walks \& Lévy flights
• Pseudo-gaps for random hopping models
• Gap statistics close to the quantile of a random walk

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