On Lerch's transcendent and the Gaussian random walk

Let $X_1,X_2,...$ be independent variables, each having a normal distribution with negative mean $-\beta<0$ and variance 1. We consider the partial sums $S_n=X_1+...+X_n$, with $S_0=0$, and refer to the process $\{S_n:n\geq0\}$ as the Gaussian random walk. We present explicit expressions for the mean and variance of the maximum $M=\max\{S_n:n\geq0\}.$ These expressions are in terms of Taylor series about $\beta=0$ with coefficients that involve the Riemann zeta function. Our results extend Kingman's first-order approximation [Proc. Symp. on Congestion Theory (1965) 137--169] of the mean for $\beta\downarrow0$. We build upon the work of Chang and Peres [Ann. Probab. 25 (1997) 787--802], and use Bateman's formulas on Lerch's transcendent and Euler--Maclaurin summation as key ingredients.Comment: Published at http://dx.doi.org/10.1214/105051606000000781 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Huyghens, Bohr, Riemann and Galois: Phase-Locking

Several mathematical views of phase-locking are developed. The classical Huyghens approach is generalized to include all harmonic and subharmonic resonances and is found to be connected to 1/f noise and prime number theory. Two types of quantum phase-locking operators are defined, one acting on the rational numbers, the other on the elements of a Galois field. In both cases we analyse in detail the phase properties and find them related respectively to the Riemann zeta function and to incomplete Gauss sums.Comment: 18 pages paper written in relation to the ICSSUR'05 conference held in Besancon, France to be published at a special issue of IJMP