Universal First-passage Properties of Discrete-time Random Walks and Levy Flights on a Line: Statistics of the Global Maximum and Records

Abstract

In these lecture notes I will discuss the universal first-passage properties of a simple correlated discrete-time sequence {x_0=0, x_1,x_2.... x_n} up to n steps where x_i represents the position at step i of a random walker hopping on a continuous line by drawing independently, at each time step, a random jump length from an arbitrary symmetric and continuous distribution (it includes, e.g., the Levy flights). I will focus on the statistics of two extreme observables associated with the sequence: (i) its global maximum and the time step at which the maximum occurs and (ii) the number of records in the sequence and their ages. I will demonstrate how the universal statistics of these observables emerge as a consequence of Pollaczek-Spitzer formula and the associated Sparre Andersen theorem.

Lecture notes for the summer school "Fundamental Problems in Statistical Physics: XII" held at Leuven, Belgium (2009). 20 pages, 4 figures; typos corrected, a figure redrawn and new references and discussions added

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