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

Abstract

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 $0<\mu \le 2$. 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 Lévy 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 $p_{\mathrm{gap}}(g)$ and $p_{\mathrm{time}}(l)$, 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)].

52 pages, 8 figures. Published version (typos corrected). Accepted for publication in J. Stat. Mech

References in corpus (5)

• Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws
• Density of near-extreme events
• Unified Solution of the Expected Maximum of a Random Walk and the Discrete Flux to a Spherical Trap
• Record Statistics for Multiple Random Walks
• Universal Order and Gap Statistics of Critical Branching Brownian Motion

Cited by in corpus (7)

• Record statistics for random walks and Lévy flights with resetting
• Optimizing Leapover Lengths of Lévy Flights with Resetting
• First-passage properties of the jump process with a drift. Two exactly solvable cases
• Empirical scaling of the length of the longest increasing subsequences of random walks
• Sturm-Liouville systems for the survival probability in first-passage time problems
• New insights into the distribution of the topmost gap in random walks and Lévy flights
• First-passage properties of the jump process with a drift. The general case