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Exact Statistics of the Gap and Time Interval Between the First Two Maxima of Random Walks

Author

Listed:
  • Satya N. Majumdar

    (LPTMS - Laboratoire de Physique Théorique et Modèles Statistiques - UP11 - Université Paris-Sud - Paris 11 - CNRS - Centre National de la Recherche Scientifique)

  • Philippe Mounaix

    (CPHT - Centre de Physique Théorique [Palaiseau] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique)

  • Gregory Schehr

    (LPTMS - Laboratoire de Physique Théorique et Modèles Statistiques - UP11 - Université Paris-Sud - Paris 11 - CNRS - Centre National de la Recherche Scientifique)

Abstract

We investigate the statistics of the gap, G_n, between the two rightmost positions of a Markovian one-dimensional random walker (RW) after n time steps and of the duration, L_n, which separates the occurrence of these two extremal positions. The distribution of the jumps \eta_i's of the RW, f(\eta), is symmetric and its Fourier transform has the small k behavior 1-\hat{f}(k)\sim| k|^\mu with 0

Suggested Citation

  • Satya N. Majumdar & Philippe Mounaix & Gregory Schehr, 2013. "Exact Statistics of the Gap and Time Interval Between the First Two Maxima of Random Walks," Post-Print hal-00861416, HAL.
    • Handle: RePEc:hal:journl:hal-00861416
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    Cited by:

    1. Markelov, Oleg & Nguyen Duc, Viet & Bogachev, Mikhail, 2017. "Statistical modeling of the Internet traffic dynamics: To which extent do we need long-term correlations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 48-60.
    2. Claude Godreche & Satya N. Majumdar & Gregory Schehr, 2017. "Record statistics of a strongly correlated time series: random walks and L\'evy flights," Papers 1702.00586, arXiv.org.
    3. Butusov, Denis N. & Karimov, Artur I. & Pyko, Nikita S. & Pyko, Svetlana A. & Bogachev, Mikhail I., 2018. "Discrete chaotic maps obtained by symmetric integration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 955-970.
    4. Gregory Schehr & Satya N. Majumdar, 2013. "Exact record and order statistics of random walks via first-passage ideas," Papers 1305.0639, arXiv.org.

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