Statistics of the longest interval in renewal processes

DOI10.1088/1742-5468/2015/03/P03014MaRDI QIDQ3302216zbMATH OpenFDO

Authors Satya N. Majumdar, C. Godrèche, Grégory Schehr

Publication date 11 August 2020

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.7381

Mathematics Subject Classification ID

Renewal theory (60K05)

Abstract: We consider renewal processes where events, which can for instance be the zero crossings of a stochastic process, occur at random epochs of time. The intervals of time between events, $a{u}_1,a{u}_2,\mathrm{...}$, are independent and identically distributed (i.i.d.) random variables with a common density $ho(au)$. Fixing the total observation time to $t$ induces a global constraint on the sum of these random intervals, which accordingly become interdependent. Here we focus on the largest interval among such a sequence on the fixed time interval $(0,t)$. Depending on how the last interval is treated, we consider three different situations, indexed by $alpha=$ I, II and III. We investigate the distribution of the longest interval $el{l}^{a}lph{a}_{max}(t)$ and the probability $Q^{a}lpha(t)$ that the last interval is the longest one. We show that if $ho(au)$ decays faster than $1/a{u}^2$ for large $au$, then the full statistics of $el{l}^{a}lph{a}_{max}(t)$ is given, in the large $t$ limit, by the standard theory of extreme value statistics for i.i.d. random variables, showing in particular that the global constraint on the intervals $a{u}_i$ does not play any role at large times in this case. However, if $ho(au)$ exhibits heavy tails, $ho(au)sima{u}^{-1-heta}$ for large $au$, with index $0<heta<1$, we show that the fluctuations of $el{l}^{a}lph{a}_{max}(t)/t$ are governed, in the large $t$ limit, by a stationary universal distribution which depends on both $heta$ and $alpha$, which we compute exactly. On the other hand, $Q^{alpha}(t)$ is generically different from its counterpart for i.i.d. variables (both for narrow or heavy tailed distributions $ho(au)$). In particular, in the case $0<heta<1$, the large $t$ behaviour of $Q^{a}lpha(t)$ gives rise to universal constants (depending also on both $heta$ and $alpha$) which we compute exactly.

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