English

Record statistics for random walk bridges

Statistical Mechanics 2016-01-08 v2 Statistical Finance

Abstract

We investigate the statistics of records in a random sequence {xB(0)=0,xB(1),,xB(n)=xB(0)=0}\{x_B(0)=0,x_B(1),\cdots, x_B(n)=x_B(0)=0\} of nn time steps. The sequence xB(k)x_B(k)'s represents the position at step kk of a random walk `bridge' of nn steps that starts and ends at the origin. At each step, the increment of the position is a random jump drawn from a specified symmetric distribution. We study the statistics of records and record ages for such a bridge sequence, for different jump distributions. In absence of the bridge condition, i.e., for a free random walk sequence, the statistics of the number and ages of records exhibits a `strong' universality for all nn, i.e., they are completely independent of the jump distribution as long as the distribution is continuous. We show that the presence of the bridge constraint destroys this strong `all nn' universality. Nevertheless a `weaker' universality still remains for large nn, where we show that the record statistics depends on the jump distributions only through a single parameter 0<μ20<\mu\le 2, known as the L\'evy index of the walk, but are insensitive to the other details of the jump distribution. We derive the most general results (for arbitrary jump distributions) wherever possible and also present two exactly solvable cases. We present numerical simulations that verify our analytical results.

Keywords

Cite

@article{arxiv.1505.06053,
  title  = {Record statistics for random walk bridges},
  author = {Claude Godreche and Satya N. Majumdar and Gregory Schehr},
  journal= {arXiv preprint arXiv:1505.06053},
  year   = {2016}
}

Comments

40 pages, 11 figures, contribution to the JSTAT Special Issue based on the Galileo Galilei Institute Workshop "Advances in Nonequilibrium Statistical Mechanics". Published version

R2 v1 2026-06-22T09:39:28.209Z