Exact statistics of record increments of random walks and L\’evy flights

Claude Godreche 1 Satya N. Majumdar 2 Gregory Schehr 2

Physical Review Letters, American Physical Society, 2016, 117, pp.010601

We study the statistics of increments in record values in a time series $\{x_0=0,x_1, x_2, \ldots, x_n\}$ generated by the positions of a random walk (discrete time, continuous space) of duration $n$ steps. For arbitrary jump length distribution, including L\'evy flights, we show that the distribution of the record increment becomes stationary, i.e., independent of $n$ for large $n$, and compute it explicitly for a wide class of jump distributions. In addition, we compute exactly the probability $Q(n)$ that the record increments decrease monotonically up to step $n$. Remarkably, $Q(n)$ is universal (i..e., independent of the jump distribution) for each $n$, decaying as $Q(n) \sim {\cal A}/\sqrt{n}$ for large $n$, with a universal amplitude ${\cal A} = e/\sqrt{\pi} = 1.53362\ldots$.

  • 1. IPHT - Institut de Physique Théorique - UMR CNRS 3681
  • 2. LPTMS - Laboratoire de Physique Théorique et Modèles Statistiques