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arXiv · 0806.0057

Universal Record Statistics of Random Walks and Lévy Flights

Satya N. Majumdar·Robert M. Ziff
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Abstract

It is shown that statistics of records for time series generated by random walks are independent of the details of the jump distribution, as long as the latter is continuous and symmetric. In N steps, the mean of the record distribution grows as the sqrt(4N/pi) while the standard deviation grows as sqrt((2-4/pi) N), so the distribution is non-self-averaging. The mean shortest and longest duration records grow as sqrt(N/pi) and 0.626508... N, respectively. The case of a discrete random walker is also studied, and similar asymptotic behavior is found.

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BibTeXRIS

Satya N. Majumdar, Robert M. Ziff. 2008-08-04. Universal Record Statistics of Random Walks and Lévy Flights. https://doi.org/10.1103/physrevlett.101.050601

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