Universal Gap Statistics for Random Walks for a Class of Jump Densities

M. Battilana, S. Majumdar, G. Schehr

2020, v.26, Issue 1, 57-94

ABSTRACT

We study the order statistics of a random walk (RW) of $n$ steps whose jumps are distributed according to
symmetric Erlang densities $f_p(\eta)\sim |\eta|^p \,e^{-|\eta|}$, parametrized by a non-negative integer $p$. Our main focus is on the
statistics of the gaps $d_{k,n}$ between two successive maxima $d_{k,n}=M_{k,n}-M_{k+1,n}$ where $M_{k,n}$ is
the $k$-th maximum of the RW between step 1 and step $n$. In the limit of large $n$, we show that the probability density function of the gaps $P_{k,n}(\Delta) = \Pr(d_{k,n} = \Delta)$ reaches a stationary density $P_{k,n}(\Delta) \to p_k(\Delta)$. For large $k$, we demonstrate that the typical fluctuations of the gap, for $d_{k,n}= O(1/\sqrt{k})$ (and $n \to \infty$), are described by a non-trivial scaling function that is independent of $k$ and of the jump probability density function $f_p(\eta)$, thus corroborating our conjecture about the universality of the regime of typical fluctuations (see G. Schehr, S.N.~Majumdar, Phys.\ Rev.\ Lett.\ {\bf 108}, 040601 (2012)). We also investigate the large fluctuations of the gap, for $d_{k,n} = O(1)$ (and $n \to \infty$), and show that these two regimes of typical and large fluctuations of the gaps match smoothly.

Keywords: random walks, extreme value theory, order statistics

COMMENTS

Please log in or register to leave a comment