Expected maximum of bridge random walks & L\'evy flights

Abstract: We consider one-dimensional discrete-time random walks (RWs) with arbitrary symmetric and continuous jump distributions

f (e t a)

, including the case of L'evy flights. We study the expected maximum

m a t h b b E [M_{n}]

of bridge RWs, i.e., RWs starting and ending at the origin after

n

steps. We obtain an exact analytical expression for

m a t h b b E [M_{n}]

valid for any

n

and jump distribution

f (e t a)

, which we then analyze in the large

n

limit up to second leading order term. For jump distributions whose Fourier transform behaves, for small

k

, as

h a t f (k) s i m 1 - | a, k |^{m} u

with a L'evy index

0 < m u l e q 2

and an arbitrary length scale

a > 0

, we find that, at leading order for large

n

,

m a t h b b E [M_{n}] s i m a, h_{1} (m u), n^{1 / m u}

. We obtain an explicit expression for the amplitude

h_{1} (m u)

and find that it carries the signature of the bridge condition, being different from its counterpart for the free random walk. For

m u = 2

, we find that the second leading order term is a constant, which, quite remarkably, is the same as its counterpart for the free RW. For generic

0 < m u < 2

, this second leading order term is a growing function of

n

, which depends non-trivially on further details of

h a t f (k)

, beyond the L'evy index

m u

. Finally, we apply our results to compute the mean perimeter of the convex hull of the

2 d

Rouse polymer chain and of the

2 d

run-and-tumble particle, as well as to the computation of the survival probability in a bridge version of the well-known "lamb-lion" capture problem.

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