Universal gap statistics for random walks for a class of jump densities – Archive ouverte HAL

Matteo Battilana 1 Satya N. Majumdar 1 Gregory Schehr 1

Matteo Battilana, Satya N. Majumdar, Gregory Schehr. Universal gap statistics for random walks for a class of jump densities. Markov Processes And Related Fields, Polymat Publishing Company, 2020. ⟨hal-02518812⟩

We study the order statistics of a random walk (RW) of $n$ steps whose jumps are distributed according to symmetric Erlang densities $f_p(\eta)\sim |\eta|^p \,e^{-|\eta|}$, parametrized by a non-negative integer $p$. Our main focus is on the statistics of the gaps $d_{k,n}$ between two successive maxima $d_{k,n}=M_{k,n}-M_{k+1,n}$ where $M_{k,n}$ is the $k$-th maximum of the RW between step 1 and step $n$. In the limit of large $n$, we show that the probability density function of the gaps $P_{k,n}(\Delta) = \Pr(d_{k,n} = \Delta)$ reaches a stationary density $P_{k,n}(\Delta) \to p_k(\Delta)$. For large $k$, we demonstrate that the typical fluctuations of the gap, for $d_{k,n}= O(1/\sqrt{k})$ (and $n \to \infty$), are described by a non-trivial scaling function that is independent of $k$ and of the jump probability density function $f_p(\eta)$, thus corroborating our conjecture about the universality of the regime of typical fluctuations (see G. Schehr, S. N. Majumdar, Phys. Rev. Lett. 108, 040601 (2012)). We also investigate the large fluctuations of the gap, for $d_{k,n} = O(1)$ (and $n \to \infty$), and show that these two regimes of typical and large fluctuations of the gaps match smoothly.

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