Extreme value statistics of jump processes

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Abstract

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.

Original languageEnglish
Article numberL052101
JournalPhysical Review E
Volume109
Issue number5
DOIs
Publication statusPublished - 1 May 2024

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