Archive ouverte HAL – Gap statistics close to the quantile of a random walk

Bertrand Lacroix-A-Chez-Toine 1 Satya N. Majumdar 1 Gregory Schehr 1 Satya Majumdar 1

Bertrand Lacroix-A-Chez-Toine, Satya N. Majumdar, Gregory Schehr, Satya Majumdar. Gap statistics close to the quantile of a random walk. Journal of Physics A: Mathematical and Theoretical, IOP Publishing, 2019, 52 (31), pp.315003. ⟨10.1088/1751-8121/ab2cf9⟩. ⟨hal-02291855⟩

We consider a random walk of $n$ steps starting at $x_0=0$ with a double exponential (Laplace) jump distribution. We compute exactly the distribution $p_{k,n}(\Delta)$ of the gap $d_{k,n}$ between the $k^{\rm th}$ and $(k+1)^{\rm th}$ maxima in the limit of large $n$ and large $k$, with $\alpha=k/n$ fixed. We show that the typical fluctuations of the gaps, which are of order $O( n^{-1/2})$, are described by a universal $\alpha$-dependent distribution, which we compute explicitly. Interestingly, this distribution has an inverse cubic tail, which implies a non-trivial $n$-dependence of the moments of the gaps. We also argue, based on numerical simulations, that this distribution is universal, i.e. it holds for more general jump distributions (not only the Laplace distribution), which are continuous, symmetric with a well defined second moment. Finally, we also compute the large deviation form of the gap distribution $p_{\alpha n,n}(\Delta)$ for $\Delta=O(1)$, which turns out to be non-universal.

  • 1. LPTMS - Laboratoire de Physique Théorique et Modèles Statistiques