On the Gap and Time Interval between the First Two Maxima of Long Random Walks - Archive ouverte HAL
Article Dans Une Revue Journal of Statistical Mechanics: Theory and Experiment Année : 2014

On the Gap and Time Interval between the First Two Maxima of Long Random Walks

Résumé

In the context of order statistics of discrete time random walks (RW), we investigate the statistics of the gap, $G_n$, and the number of time steps, $L_n$, between the two highest positions of a Markovian one-dimensional random walker, starting from $x_0 = 0$, after $n$ time steps (taking the $x$-axis vertical). The jumps $\eta_i = x_i - x_{i-1}$ are independent and identically distributed random variables drawn from a symmetric probability distribution function (PDF), $f(\eta)$, the Fourier transform of which has the small $k$ behavior $1 - \hat f(k) \propto |k|^\mu$, with $0 < \mu \leq 2$. For $\mu=2$, the variance of the jump distribution is finite and the RW (properly scaled) converges to a Brownian motion. For $0<\mu<2$, the RW is a L\'evy flight of index $\mu$. We show that the joint PDF of $G_n$ and $L_n$ converges to a well defined stationary bi-variate distribution $p(g,l)$ as the RW duration $n$ goes to infinity. We present a thorough analytical study of the limiting joint distribution $p(g,l)$, as well as of its associated marginals $p_{\rm gap}(g)$ and $p_{\rm time}(l)$, revealing a rich variety of behaviors depending on the tail of $f(\eta)$ (from slow decreasing algebraic tail to fast decreasing super-exponential tail). We also address the problem for a random bridge where the RW starts and ends at the origin after $n$ time steps. We show that in the large $n$ limit, the PDF of $G_n$ and $L_n$ converges to the {\it same} stationary distribution $p(g,l)$ as in the case of the free-end RW. Finally, we present a numerical check of our analytical predictions. Some of these results were announced in a recent letter [S. N. Majumdar, Ph. Mounaix, G. Schehr, Phys. Rev. Lett. {\bf 111}, 070601 (2013)].

Dates et versions

hal-01087768 , version 1 (26-11-2014)

Identifiants

Citer

Satya N. Majumdar, Philippe Mounaix, Gregory Schehr. On the Gap and Time Interval between the First Two Maxima of Long Random Walks. Journal of Statistical Mechanics: Theory and Experiment, 2014, pp.P09013. ⟨hal-01087768⟩
82 Consultations
0 Téléchargements

Altmetric

Partager

More