Maxima of two random walks: Universal statistics of lead changes
In this study, 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 ${\pi }^{-1}\mathrm{ln}t$ 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 Lévy flights. We also show that the probability to have at most n lead changes behaves as ${t}^{-1/4}{(\mathrm{ln}t)}^{n}$ for Brownian motion and as ${t}^{-\beta (\mu )}{(\mathrm{ln}t)}^{n}$ for symmetric Lévy flights with index μ. The decay exponent $\beta \equiv \beta (\mu )$ varies continuously with the Lévy index when $0\lt \mu \lt 2$, and remains constant $\beta =1/4$ for $\mu \gt 2$.