Universal first-passage properties of discrete-time random walks and Lévy flights on a line: statistics of the global maximum and records

DOI10.1016/J.PHYSA.2010.01.021zbMATH Open1225.60077arXiv0912.2586OpenAlexW2066281510MaRDI QIDQ647824FDOQ647824

Authors: Satya N. Majumdar 

Publication date: 19 November 2011

Published in: Physica A (Search for Journal in Brave)

Abstract: In these lecture notes I will discuss the universal first-passage properties of a simple correlated discrete-time sequence {x_0=0, x_1,x_2.... x_n} up to n steps where x_i represents the position at step i of a random walker hopping on a continuous line by drawing independently, at each time step, a random jump length from an arbitrary symmetric and continuous distribution (it includes, e.g., the Levy flights). I will focus on the statistics of two extreme observables associated with the sequence: (i) its global maximum and the time step at which the maximum occurs and (ii) the number of records in the sequence and their ages. I will demonstrate how the universal statistics of these observables emerge as a consequence of Pollaczek-Spitzer formula and the associated Sparre Andersen theorem.

Full work available at URL: https://arxiv.org/abs/0912.2586

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Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Sums of independent random variables; random walks (60G50) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cited In (37)

• Records and sequences of records from random variables with a linear trend
• Extremal statistics for a one-dimensional Brownian motion with a reflective boundary
• Universal survival probability for a correlated random walk and applications to records
• Stochastic resetting and applications
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