Universal first-passage properties of discrete-time random walks and Levy flights on a line: Statistics of the global maximum and records

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 records in the sequence and their ages. I will demonstrate how the universal statistics of these observables emerge as a consequence of Pollaczek-Spitzer formula and the associated Sparre Andersen theorem. (C) 2010 Elsevier B.V. All rights reserved.