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Preprints, Working Papers, ... Year : 2014

Universal statistics of longest lasting records of random walks and Lévy flights

Abstract

We study the record statistics of random walks after $n$ steps, $x_0, x_1,\ldots, x_n$, with arbitrary symmetric and continuous distribution $p(\eta)$ of the jumps $\eta_i = x_i - x_{i-1}$. We consider the age of the records, i.e. the time up to which a record survives. Depending on how the age of the current last record is defined, we propose three distinct sequences of ages (indexed by $\alpha$ = I, II, III) associated to a given sequence of records. We then focus on the longest lasting record, which is the longest element among this sequence of ages. To characterize the statistics of these longest lasting records, we compute: (i) the probability that the record of the longest age is broken at step $n$, denoted by $Q^{\alpha}(n)$, which we call the probability of record breaking and: (ii) the duration of the longest lasting record, $\ell_{\max}^{\alpha}(n)$. We show that both $Q^{\alpha}(n)$ and the full statistics of $\ell_{\max}^{\alpha}(n)$ are universal, i.e. independent of the jump distribution $p(\eta)$. We compute exactly the large $n$ asymptotic behaviors of $Q^{\alpha}(n)$ as well as $\langle \ell_{\max}^{\alpha}(n)\rangle$ (when it exists) and show that each case gives rise to a different universal constant associated to random walks (including Lévy flights). While two of them appeared before in the excursion theory of Brownian motion, for which we provide here a simpler derivation, the third case gives rise to a non-trivial new constant $C^{\rm III} = 0.241749 \ldots$ associated to the records of random walks. Other observables characterizing the ages of the records, exhibiting an interesting universal behavior, are also discussed.

Dates and versions

cea-01005660 , version 1 (13-06-2014)

Identifiers

Cite

Claude Godreche, Satya N. Majumdar, Gregory Schehr. Universal statistics of longest lasting records of random walks and Lévy flights. 2014. ⟨cea-01005660⟩
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