Universal order statistics for random walks & L\'evy flights

Abstract: We consider one-dimensional discrete-time random walks (RWs) of

n

steps, starting from

x_{0} = 0

, with arbitrary symmetric and continuous jump distributions

f (e t a)

, including the important case of L'evy flights. We study the statistics of the gaps

D e l t a_{k, n}

between the

k^{e} x t t h

and

(k + 1)^{e} x t t h

maximum of the set of positions

x_{1}, l d o t s, x_{n}

. We obtain an exact analytical expression for the probability distribution

P_{k, n} (D e l t a)

valid for any

k

and

n

, and jump distribution

f (e t a)

, which we then analyse in the large

n

limit. For jump distributions whose Fourier transform behaves, for small

q

, as

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

with a L'evy index

0 < m u l e q 2

, we find that, the distribution becomes stationary in the limit of

n o i n f t y

, i.e.

l i m_{n o i n f t y} P_{k, n} (D e l t a) = P_{k} (D e l t a)

. We obtain an explicit expression for its first moment

m a t h b b E [D e l t a_{k}]

, valid for any

k

and jump distribution

f (e t a)

with

m u > 1

, and show that it exhibits a universal algebraic decay

m a t h b b E [D e l t a_{k}] s i m k^{1 / m u - 1} G a m m a l e f t (1 - 1 / m u i g h t) / p i

for large

k

. Furthermore, for

m u > 1

, we show that in the limit of

k o i n f t y

the stationary distribution exhibits a universal scaling form

P_{k} (D e l t a) s i m k^{1 - 1 / m u} m a t h c a l P_{m} u (k^{1 - 1 / m u} D e l t a)

which depends only on the L'evy index

m u

, but not on the details of the jump distribution. We compute explicitly the limiting scaling function

m a t h c a l P_{m} u (x)

in terms of Mittag-Leffler functions. For

1 < m u < 2

, we show that, while this scaling function captures the distribution of the typical gaps on the scale

k^{1 / m u - 1}

, the atypical large gaps are not described by this scaling function since they occur at a larger scale of order

k^{1 / m u}

.

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