On the gap and time interval between the first two maxima of long random walks

In the context of order statistics of discrete time random walks (RW), we investigate the statistics of the gap, G_n, and the number of time steps, L_n, between the two highest positions of a Markovian one-dimensional random walker, starting from x₀= 0, after n time steps (taking the x-axis vertical). The jumps η_i= x_i- x_i-1are independent and identically distributed random variables drawn from a symmetric probability distribution function (PDF), f(η), the Fourier transform of which has the small k behavior 1 - f(k) ∞ |k|^μ, with 0 < μ ≤ 2. For μ = 2, the variance of the jump distribution is finite and the RW (properly scaled) converges to a Brownian motion. For 0 < μ < 2, the RW is a Lévy flight of index μ. We show that the joint PDF of G_nand L_nconverges to a well defined stationary bi-variate distribution p(g, l) as the RW duration n goes to infinity. We present a thorough analytical study of the limiting joint distribution p(g, l), as well as of its associated marginals p_gap(g) and p_time(l), revealing a rich variety of behaviors depending on the tail of f(η) (from slow decreasing algebraic tail to fast decreasing super-exponential tail). We also address the problem for a random bridge where the RW starts and ends at the origin after n time steps. We show that in the large n limit, the PDF of Gn and Ln converges to the same stationary distribution p(g, l) as in the case of the free-end RW. Finally, we present a numerical check of our analytical predictions. Some of these results were announced in a recent letter (Majumdar et al 2013 Phys. Rev. Lett. 111 070601).