TY - JOUR
T1 - Extreme value statistics of jump processes
AU - Klinger, J.
AU - Voituriez, R.
AU - Bénichou, O.
N1 - Publisher Copyright:
© 2024 American Physical Society.
PY - 2024/5/1
Y1 - 2024/5/1
N2 - We investigate extreme value statistics (EVS) of general discrete time and continuous space symmetric jump processes. We first show that for unbounded jump processes, the semi-infinite propagator G0(x,n), defined as the probability for a particle issued from zero to be at position x after n steps whilst staying positive, is the key ingredient needed to derive a variety of joint distributions of extremes and times at which they are reached. Along with exact expressions, we extract universal asymptotic behaviors of such quantities. For bounded, semi-infinite jump processes killed upon first crossing of zero, we introduce the strip probability μ0,x (n), defined as the probability that a particle issued from zero remains positive and reaches its maximum x on its nth step exactly. We show that μ0,x (n) is the essential building block to address EVS of semi-infinite jump processes, and obtain exact expressions and universal asymptotic behaviors of various joint distributions.
AB - We investigate extreme value statistics (EVS) of general discrete time and continuous space symmetric jump processes. We first show that for unbounded jump processes, the semi-infinite propagator G0(x,n), defined as the probability for a particle issued from zero to be at position x after n steps whilst staying positive, is the key ingredient needed to derive a variety of joint distributions of extremes and times at which they are reached. Along with exact expressions, we extract universal asymptotic behaviors of such quantities. For bounded, semi-infinite jump processes killed upon first crossing of zero, we introduce the strip probability μ0,x (n), defined as the probability that a particle issued from zero remains positive and reaches its maximum x on its nth step exactly. We show that μ0,x (n) is the essential building block to address EVS of semi-infinite jump processes, and obtain exact expressions and universal asymptotic behaviors of various joint distributions.
U2 - 10.1103/PhysRevE.109.L052101
DO - 10.1103/PhysRevE.109.L052101
M3 - Article
C2 - 38907447
AN - SCOPUS:85192454846
SN - 2470-0045
VL - 109
JO - Physical Review E
JF - Physical Review E
IS - 5
M1 - L052101
ER -