Universal order statistics for random walks & L\'evy flights

Abstract

We consider one-dimensional discrete-time random walks (RWs) of $n$ steps, starting from $x_0=0$, with arbitrary symmetric and continuous jump distributions $f(\eta)$, including the important case of L\'evy flights. We study the statistics of the gaps $\Delta_{k,n}$ between the $k^\text{th}$ and $(k+1)^\text{th}$ maximum of the set of positions $\{x_1,\ldots,x_n\}$. We obtain an exact analytical expression for the probability distribution $P_{k,n}(\Delta)$ valid for any $k$ and $n$, and jump distribution $f(\eta)$, which we then analyse in the large $n$ limit. For jump distributions whose Fourier transform behaves, for small $q$, as $\hat f (q) \sim 1 - |q|^\mu$ with a L\'evy index $0< \mu \leq 2$, we find that, the distribution becomes stationary in the limit of $n\to \infty$, i.e. $\lim_{n\to \infty} P_{k,n}(\Delta)=P_k(\Delta)$. We obtain an explicit expression for its first moment $\mathbb{E}[\Delta_{k}]$, valid for any $k$ and jump distribution $f(\eta)$ with $\mu>1$, and show that it exhibits a universal algebraic decay $ \mathbb{E}[\Delta_{k}]\sim k^{1/\mu-1} \Gamma\left(1-1/\mu\right)/\pi$ for large $k$. Furthermore, for $\mu>1$, we show that in the limit of $k\to\infty$ the stationary distribution exhibits a universal scaling form $P_k(\Delta) \sim k^{1-1/\mu} \mathcal{P}_\mu(k^{1-1/\mu}\Delta)$ which depends only on the L\'evy index $\mu$, but not on the details of the jump distribution. We compute explicitly the limiting scaling function $\mathcal{P}_\mu(x)$ in terms of Mittag-Leffler functions. For $1< \mu <2$, we show that, while this scaling function captures the distribution of the typical gaps on the scale $k^{1/\mu-1}$, the atypical large gaps are not described by this scaling function since they occur at a larger scale of order $k^{1/\mu}$.