Universal record statistics for random walks and Lévy flights with a nonzero staying probability
Satya N Majumdar, Philippe Mounaix, Grégory Schehr
Abstract
Abstract We compute exactly the statistics of the number of records in a discrete-time random walk model on a line where the walker stays at a given position with a nonzero probability 0 ⩽ p ⩽ 1, while with the complementary probability 1 − p , it jumps to a new position with a jump length drawn from a continuous and symmetric distribution f 0 ( η ). We have shown that, for arbitrary p , the statistics of records up to step N is completely universal, i.e. independent of f 0 ( η ) for any N . We also compute the connected two-time correlation function C p ( m 1 , m 2 ) of the record-breaking events at times m 1 and m 2 and show it is also universal for all p . Moreover, we demonstrate that C p ( m 1 , m 2 ) < C 0 ( m 1 , m 2 ) for all p > 0, indicating that a nonzero p induces additional anti-correlations between record events. We further show that these anti-correlations lead to a drastic reduction in the fluctuations of the record numbers with increasing p . This is manifest in the Fano factor, i.e. the ratio of the variance and the mean of the record number, which we compute explicitly. We also show that an interesting scaling limit emerges when p → 1, N → ∞ with the product t = (1 − p ) N fixed. We compute exactly the associated universal scaling functions for the mean, variance and the Fano factor of the number of records in this scaling limit.