Record statistics of integrated random walks and the random acceleration process
Statistical Mechanics
2022-03-03 v1 Probability
Abstract
We address the theory of records for integrated random walks with finite variance. The long-time continuum limit of these walks is a non-Markov process known as the random acceleration process or the integral of Brownian motion. In this limit, the renewal structure of the record process is the cornerstone for the analysis of its statistics. We thus obtain the analytical expressions of several characteristics of the process, notably the distribution of the total duration of record runs (sequences of consecutive records), which is the continuum analogue of the number of records of the integrated random walks. This result is universal, i.e., independent of the details of the parent distribution of the step lengths.
Keywords
Cite
@article{arxiv.2109.05582,
title = {Record statistics of integrated random walks and the random acceleration process},
author = {Claude Godrèche and Jean-Marc Luck},
journal= {arXiv preprint arXiv:2109.05582},
year = {2022}
}
Comments
32 pages, 7 figures