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

Satya N. Majumdar 1

Physica A: Statistical Mechanics and its Applications 389, 20 (2010) 4299-4316

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.

  • 1. Laboratoire de Physique Théorique et Modèles Statistiques (LPTMS),
    CNRS : UMR8626 – Université Paris XI - Paris Sud