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

TL;DR

This paper derives universal statistical properties of the gaps between ordered maxima in one-dimensional symmetric random walks and Lévy flights, revealing universal scaling laws and explicit distributions for large numbers of steps.

Contribution

It provides the first exact analytical expressions for the gap distributions between maxima in random walks with arbitrary symmetric jump distributions, including Lévy flights, and uncovers universal scaling behaviors.

Findings

Distribution of gaps becomes stationary as n→∞.

Expected gap size scales as k^{1/μ-1} for large k.

Universal scaling form of the gap distribution depends only on μ.

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 $k^{1/\mu}$.