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Unified Solution of the Expected Maximum of a Random Walk and the Discrete Flux to a Spherical Trap

Satya N. Majumdar·Alain Comtet·Robert M. Ziff
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Abstract

Two random-walk related problems which have been studied independently in the past, the expected maximum of a random walker in one dimension and the flux to a spherical trap of particles undergoing discrete jumps in three dimensions, are shown to be closely related to each other and are studied using a unified approach as a solution to a Wiener-Hopf problem. For the flux problem, this work shows that a constant c = 0.29795219 which appeared in the context of the boundary extrapolation length, and was previously found only numerically, can be derived explicitly. The same constant enters in higher-order corrections to the expected-maximum asymptotics. As a byproduct, we also prove a new universal result in the context of the flux problem which is an analogue of the Sparre Andersen theorem proved in the context of the random walker's maximum.

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Satya N. Majumdar, Alain Comtet, Robert M. Ziff. 2005-10-27. Unified Solution of the Expected Maximum of a Random Walk and the Discrete Flux to a Spherical Trap. https://doi.org/10.1007/s10955-005-9002-x

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