We introduce a method to exactly generate bridge trajectories for discrete-time random walks, with arbitrary jump distributions, that are constrained to initially start at the origin and return to the origin after a fixed time. The method is based on an effective jump distribution that implicitly accounts for the bridge constraint. It is illustrated on various jump distributions and is shown to be very efficient in practice. In addition, we show how to generalize the method to other types of constrained random walks such as generalized bridges, excursions, and meanders.
We study Markovian continuous-time random walk models for Lévy flights and we show an example in which the convergence to stable densities is not guaranteed when jumps follow a bi-modal power-law distribution that is equal to zero in zero. The significance of this result is two-fold: i) with regard to the probabilistic derivation of the fractional diffusion equation and also ii) with regard to the concept of site fidelity in the framework of Lévy-like motion for wild animals.
We perform a thorough analysis of the survival probability of symmetric random walks with stochastic resetting, defined as the probability for the walker not to cross the origin up to time $n$. For continuous symmetric distributions of step lengths with either finite (random walks) or infinite variance (Lévy flights), this probability can be expressed in terms of the survival probability of the walk without resetting, given by Sparre Andersen theory. It is therefore universal, i.e., independent of the step length distribution. We analyze this survival probability at depth, deriving both exact …
We employed the method of virial expansion in order to compute the retarded density correlation function (generalized diffusion propagator) in the critical random matrix ensemble in the limit of strong multifractality. We found that the long-range nature of the Hamiltonian is a common root of both multifractality and Levy flights which show up in the power-law intermediate- and long-distance behavior, respectively, of the density correlation function. We review certain models of classical random walks on fractals and show the similarity of the density correlation function in them to that for t…
We compute exactly the mean number of records $\langle R_N \rangle$ for a time-series of size $N$ whose entries represent the positions of a discrete time random walker on the line. At each time step, the walker jumps by a length $η$ drawn independently from a symmetric and continuous distribution $f(η)$ with probability $1-r$ (with $0\leq r < 1$) and with the complementary probability $r$ it resets to its starting point $x=0$. This is an exactly solvable example of a weakly correlated time-series that interpolates between a strongly correlated random walk series (for $r=0$) and an uncorrelate…
Lévy flights and Lévy walks serve as two paradigms of random walks resembling common features but also bearing fundamental differences. One of the main dissimilarities are discontinuity versus continuity of their trajectories and infinite versus finite propagation velocity. In consequence, well developed theory of Lévy flights is associated with their pathological physical properties, which in turn are resolved by the concept of Lévy walks. Here, we explore Lévy flights and Lévy walks models on bounded domains examining their differences and analogies. We investigate analytically and numerical…
We consider non-interacting particles (or lions) performing one-dimensional random walks or Lévy flights (with Lévy index $1 < μ\leq 2$) in the presence of a constant drift $c$. Initially these random walkers are uniformly distributed over the positive real line $z\geq 0$ with a density $ρ_0$. At the origin $z=0$ there is an immobile absorbing trap (or a lamb), such that when a particle crosses the origin, it gets absorbed there. Our main focus is on (i) the flux of particles $Φ_c(n)$ out of the system (the "Smoluchowski problem") and (ii) the survival probability $S_c(n)$ of the trap or lamb …
We study the statistics of the number of records $R_n$ for a symmetric, $n$-step, discrete jump process on a $1D$ lattice. At a given step, the walker can jump by arbitrary lattice units drawn from a given symmetric probability distribution. This process includes, as a special case, the standard nearest neighbor lattice random walk. We derive explicitly the generating function of the distribution $P(R_n)$ of the number of records, valid for arbitrary discrete jump distributions. As a byproduct, we provide a relatively simple proof of the generalized Sparre Andersen theorem for the survival pro…
In this paper, we study the large $n$ asymptotics of the expected maximum of an $n$-step random walk/Lévy flight (characterized by a Lévy index $1<μ\leq 2$) on a line, in the presence of a constant drift $c$. For $0<μ\leq 1$, the expected maximum is infinite, even for finite values of $n$. For $1<μ\leq 2$, we obtain all the non-vanishing terms in the asymptotic expansion of the expected maximum for large $n$. For $c<0$ and $μ=2$, the expected maximum approaches a non-trivial constant as $n$ gets large, while for $1<μ< 2$, it grows as a power law $\sim n^{2-μ}$. For $c>0$, the asymptotic expans…
We consider one-dimensional discrete-time random walks (RWs) with arbitrary symmetric and continuous jump distributions $f(η)$, including the case of Lévy flights. We study the expected maximum ${\mathbb E}[M_n]$ of bridge RWs, i.e., RWs starting and ending at the origin after $n$ steps. We obtain an exact analytical expression for ${\mathbb E}[M_n]$ valid for any $n$ and jump distribution $f(η)$, which we then analyze in the large $n$ limit up to second leading order term. For jump distributions whose Fourier transform behaves, for small $k$, as $\hat f(k) \sim 1 - |a\, k|^μ$ with a Lévy inde…
In this paper we are examining diffusion properties of stationary continuous-time Weierstrass walk (CTWW). We are showing it is a multi-phase representation of the Lévy walk. The hierarchical spatial-temporal coupling, combined with coupling between dynamic variables define the CTWW process. The walker moves here with a piecewise constant velocity between trajectory turning points. We have found the diffusion phase diagram of the CTWW consisting not only of anomalous non-Gaussian or non-fBm phases but also Brownian yet non-Gaussian ones. We compare the diffusion phase diagram of the stationary…
We review recent advances on the record statistics of strongly correlated time series, whose entries denote the positions of a random walk or a Lévy flight on a line. After a brief survey of the theory of records for independent and identically distributed random variables, we focus on random walks. During the last few years, it was indeed realized that random walks are a very useful "laboratory" to test the effects of correlations on the record statistics. We start with the simple one-dimensional random walk with symmetric jumps (both continuous and discrete) and discuss in detail the statist…
Using data on the Berlin public transport network, the present study extends previous observations of fractality within public transport routes by showing that also the distribution of inter-station distances along routes displays non-trivial power law behaviour. This indicates that the routes may in part also be described as Lévy-flights. The latter property may result from the fact that the routes are planned to adapt to fluctuating demand densities throughout the served area. We also relate this to optimization properties of Lévy flights.
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 $0\leq p \leq 1$, 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 even…
We study the statistics of increments in record values in a time series $\{x_0=0,x_1, x_2, \ldots, x_n\}$ generated by the positions of a random walk (discrete time, continuous space) of duration $n$ steps. For arbitrary jump length distribution, including Lévy flights, we show that the distribution of the record increment becomes stationary, i.e., independent of $n$ for large $n$, and compute it explicitly for a wide class of jump distributions. In addition, we compute exactly the probability $Q(n)$ that the record increments decrease monotonically up to step $n$. Remarkably, $Q(n)$ is univer…
Recent works have explored the properties of Lévy flights with resetting in one-dimensional domains and have reported the existence of phase transitions in the phase space of parameters which minimizes the Mean First Passage Time (MFPT) through the origin [Phys. Rev. Lett. 113, 220602 (2014)]. Here we show how actually an interesting dynamics, including also phase transitions for the minimization of the MFPT, can also be obtained without invoking the use of Lévy statistics but for the simpler case of random walks with exponentially distributed flights of constant speed. We explore this dynamic…
We investigate statistics of lead changes of the maxima of two discrete-time random walks in one dimension. We show that the average number of lead changes grows as $π^{-1}\ln(t)$ in the long-time limit. We present theoretical and numerical evidence that this asymptotic behavior is universal. Specifically, this behavior is independent of the jump distribution: the same asymptotic underlies standard Brownian motion and symmetric Levy flights. We also show that the probability to have at most n lead changes behaves as $t^{-1/4}[\ln t]^n$ for Brownian motion and as $t^{-β(μ)}[\ln t]^n$ for symmet…
We study a random walk on a point process given by an ordered array of points $(ω_k, \, k \in \mathbb{Z})$ on the real line. The distances $ω_{k+1} - ω_k$ are i.i.d. random variables in the domain of attraction of a $β$-stable law, with $β\in (0,1) \cup (1,2)$. The random walk has i.i.d. jumps such that the transition probabilities between $ω_k$ and $ω_\ell$ depend on $\ell-k$ and are given by the distribution of a $\mathbb{Z}$-valued random variable in the domain of attraction of an $α$-stable law, with $α\in (0,1) \cup (1,2)$. Since the defining variables, for both the random walk and the po…
The spectral theory of random walks on networks of arbitrary topology can be readily extended to study random walks and Lévy flights subject to resetting on these structures. When a discrete-time process is stochastically brought back from time to time to its starting node, the mean search time needed to reach another node of the network may be significantly decreased. In other cases, however, resetting is detrimental to search. Using the eigenvalues and eigenvectors of the transition matrix defining the process without resetting, we derive a general criterion for finite networks that establis…
The paper is devoted to the relationship between the continuous Markovian description of Levy flights developed previously and their equivalent representation in terms of discrete steps of a wandering particle, a certain generalization of continuous time random walks. Our consideration is confined to the one-dimensional model for continuous random motion of a particle with inertia. Its dynamics governed by stochastic self-acceleration is described as motion on the phase plane {x,v} comprising the position x and velocity v=dx/dt of the given particle. A notion of random walks inside a certain n…
In these lecture notes I will discuss the universal first-passage properties of a simple correlated discrete-time sequence {x_0=0, x_1,x_2.... x_n} up to n steps where x_i represents the position at step i of a random walker hopping on a continuous line by drawing independently, at each time step, a random jump length from an arbitrary symmetric and continuous distribution (it includes, e.g., the Levy flights). I will focus on the statistics of two extreme observables associated with the sequence: (i) its global maximum and the time step at which the maximum occurs and (ii) the number of recor…
We study a class of random walk, the stored-energy-driven Lévy flight (SEDLF), whose jump length is determined by a stored energy during a trapped state. The SEDLF is a continuous-time random walk with jump lengths being coupled with the trapping times. It is analytically shown that the ensemble-averaged mean square displacements exhibit subdiffusion as well as superdiffusion, depending on the coupling parameter. We find that time-averaged mean square displacements increase linearly with time and the diffusion coefficients are intrinsically random, a manifestation of {\it distributional ergodi…
We consider diffusive motion of a particle performing a random walk with Lévy distributed jump lengths and subject to resetting mechanism bringing the walker to an initial position at uniformly distributed times. In the limit of infinite number of steps and for long times, the process converges to a super-diffusive motion with replenishment. We derive formula for a mean first arrival time (MFAT) to a predefined target position reached by a meandering particle and analyze efficiency of the proposed searching strategy by investigating criteria for an optimal (a shortest possible) MFAT.
We study the statistics of encounters of Lévy flights by introducing the concept of vicious Lévy flights - distinct groups of walkers performing independent Lévy flights with the process terminating upon the first encounter between walkers of different groups. We show that the probability that the process survives up to time $t$ decays as $t^{-α}$ at late times. We compute $α$ up to the second order in $ε$-expansion, where $ε=σ-d$, $σ$ is the Lévy exponent and $d$ is the spatial dimension. For $d=σ$, we find the exponent of the logarithmic decay exactly. Theoretical values of the exponents are…
We consider a one-dimensional random walk (RW) with a continuous and symmetric jump distribution, $f(η)$, characterized by a Lévy index $μ\in (0,2]$, which includes standard random walks ($μ=2$) and Lévy flights ($0<μ<2$). We study the survival probability, $q(x_0,n)$, representing the probability that the RW stays non-negative up to step $n$, starting initially at $x_0 \geq 0$. Our main focus is on the $x_0$-dependence of $q(x_0,n)$ for large $n$. We show that $q(x_0,n)$ displays two distinct regimes as $x_0$ varies: (i) for $x_0= O(1)$ ("quantum regime"), the discreteness of the jump process…
For both Levy flight and Levy walk search processes we analyse the full distribution of first-passage and first-hitting (or first-arrival) times. These are, respectively, the times when the particle moves across a point at some given distance from its initial position for the first time, or when it lands at a given point for the first time. For Levy motions with their propensity for long relocation events and thus the possibility to jump across a given point in space without actually hitting it ("leapovers"), these two definitions lead to significantly different results. We study the first-pas…
We analyze time-discrete and continuous `fractional' random walks on undirected regular networks with special focus on cubic periodic lattices in $n=1,2,3,..$ dimensions. The fractional random walk dynamics is governed by a master equation involving {\it fractional} powers of Laplacian matrices $L^{\fracα{2}}$}where $α=2$ recovers the normal walk. First we demonstrate that the interval $0<α\leq 2$ is admissible for the fractional random walk. We derive analytical expressions for fractional transition matrix and closely related the average return probabilities. We further obtain the fundamental…
We study the record statistics of random walks after $n$ steps, $x_0, x_1,\ldots, x_n$, with arbitrary symmetric and continuous distribution $p(η)$ of the jumps $η_i = x_i - x_{i-1}$. We consider the age of the records, i.e. the time up to which a record survives. Depending on how the age of the current last record is defined, we propose three distinct sequences of ages (indexed by $α$ = I, II, III) associated to a given sequence of records. We then focus on the longest lasting record, which is the longest element among this sequence of ages. To characterize the statistics of these longest las…
A Levy walk is a non-Markovian stochastic process in which the elementary steps of the walker consist of motion with constant speed in randomly chosen directions and for a random period of time. The time of flight is chosen from a long-tailed distribution with a finite mean but an infinite variance. Here we consider an open system with boundary injection and removal of particles, at prescribed rates, and study the steady state properties of the system. In particular, we compute density profiles, current and current fluctuations in this system. We also consider the case of a finite density of L…
We consider a one dimensional asymmetric random walk whose jumps are identical, independent and drawn from a distribution ϕ(η) displaying asymmetric power law tails (i.e. ϕ(η) \sim c/η^{α+1} for large positive jumps and ϕ(η) \sim c/(γ|η|^{α+1}) for large negative jumps, with 0 < α< 2). In absence of boundaries and after a large number of steps n, the probability density function (PDF) of the walker position, x_n, converges to an asymmetric Lévy stable law of stability index αand skewness parameter β=(γ-1)/(γ+1). In particular the right tail of this PDF decays as c n/x_n^{1+α}. Much less is kno…
We consider a particle performing a stochastic motion on a one-dimensional lattice with jump widths distributed according to a power-law with exponent $μ+ 1$. Assuming that the walker moves in the presence of a distribution $a(x)$ of targets (traps) depending on the spatial coordinate $x$, we study the probability that the walker will eventually find any target (will eventually be trapped). We focus on the case of power-law distributions $a(x) \sim x^{-α}$ and we find that as long as $μ< α$ there is a finite probability that the walker will never be trapped, no matter how long the process is. …
We introduce a formalism of fractional diffusion on networks based on a fractional Laplacian matrix that can be constructed directly from the eigenvalues and eigenvectors of the Laplacian matrix. This fractional approach allows random walks with long-range dynamics providing a general framework for anomalous diffusion and navigation, and inducing dynamically the small-world property on any network. We obtained exact results for the stationary probability distribution, the average fractional return probability and a global time, showing that the efficiency to navigate the network is greater if …
The stationary radial distribution, $P(ρ)$, of the random walk with the diffusion coefficient $D$, which winds with the tangential velocity $V$ around the impenetrable disc of radius $R$ for $R\gg 1$ converges to the distribution involving the Airy function. Typical trajectories are localized in the circular strip $[R, R+ δR^{1/3}]$, where $δ$ is the constant which depends on the parameters $D$ and $V$ and is independent on $R$.
The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. The generalized correlation approach has been used to describe a non-Gaussian random walk with independent, identically distributed increments in the general case, and high-order correlations have been investigated. The cumulants of an asymmetrically truncated Levy distribution have been found. The behaviors of asymmetrically truncated Levy flight, as a particular case of a random walk, are conside…
Properties of random and fluctuating systems are often studied through the use of Gaussian distributions. However, in a number of situations, rare events have drastic consequences, which can not be explained by Gaussian statistics. Considerable efforts have thus been devoted to the study of non Gaussian fluctuations such as Lévy statistics, generalizing the standard description of random walks. Unfortunately only macroscopic signatures, obtained by averaging over many random steps, are usually observed in physical systems. We present experimental results investigating the elementary process of…
The movement of organisms is subject to a multitude of influences of widely varying character: from the bio-mechanics of the individual, over the interaction with the complex environment many animals live in, to evolutionary pressure and energy constraints. As the number of factors is large, it is very hard to build comprehensive movement models. Even when movement patterns in simple environments are analysed, the organisms can display very complex behaviours. While for largely undirected motion or long observation times the dynamics can sometimes be described by isotropic random walks, usuall…
Cauchy's formula was originally established for random straight paths crossing a body $B \subset \mathbb{R}^{n}$ and basically relates the average chord length through $B$ to the ratio between the volume and the surface of the body itself. The original statement was later extended in the context of transport theory so as to cover the stochastic paths of Pearson random walks with exponentially distributed flight lengths traversing a bounded domain. Some heuristic arguments suggest that Cauchy's formula may also hold true for Pearson random walks with arbitrarily distributed flight lengths. For …
The Lévy walk process for a lower interval of an excursion times distribution ($α<1$) is discussed. The particle rests between the jumps and the waiting time is position-dependent. Two cases are considered: a rising and diminishing waiting time rate $ν(x)$, which require different approximations of the master equation. The process comprises two phases of the motion: particles at rest and in flight. The density distributions for them are derived, as a solution of corresponding fractional equations. For strongly falling $ν(x)$, the resting particles density assumes the $α$-stable form (truncated…
We study the diffusive transport of Markovian random walks on arbitrary networks with stochastic resetting to multiple nodes. We deduce analytical expressions for the stationary occupation probability and for the mean and global first passage times. This general approach allows us to characterize the effect of resetting on the capacity of random walk strategies to reach a particular target or to explore the network. Our formalism holds for ergodic random walks and can be implemented from the spectral properties of the random walk without resetting, providing a tool to analyze the efficiency of…
We consider the generating function of the algebraic area of lattice walks, evaluated at a root of unity, and its relation to the Hofstadter model. In particular, we obtain an expression for the generating function of the n-th moments of the Hofstadter Hamiltonian in terms of a complete elliptic integral, evaluated at a rational function. This in turn gives us both exact and asymptotic formulas for these moments.
Branching random flights are key to describing the evolution of many physical and biological systems, ranging from neutron multiplication to gene mutations. When their paths evolve in bounded regions, we establish a relation between the properties of trajectories starting on the boundary and those starting inside the domain. Within this context, we show that the total length travelled by the walker and the number of performed collisions in bounded volumes can be assessed by resorting to the Feynman-Kac formalism. Other physical observables related to the branching trajectories, such as the sur…
