A New Randomized Pólya Urn Model

Affiliation(s)

Université de Montréal, Département de mathématiques et de statistique, Montréal, Canada.

Université de Montréal, Département de mathématiques et de statistique, Montréal, Canada.

Abstract

In this paper, we propose a new class of discrete time stochastic processes generated by a two-color generalized Pólya urn, that is reinforced every time. A single urn contains*a* white balls, *b* black balls and evolves as follows: at discrete times *n*=1,2,…, we sample* M*_{n }balls and note their colors, say* R*_{n }are white and *M*_{n}- R_{n} are black. We return the drawn balls in the urn. Moreover, *N*_{n}R_{n }new white balls and *N*_{n} (*M*_{n}- R_{n})* *new black balls are added in the urn. The numbers* M*_{n }and* N*_{n }are random variables. We show that the proportions of white balls forms a bounded martingale sequence which converges almost surely. Necessary and sufficient conditions for the limit to concentrate on the set {0,1} are given.

In this paper, we propose a new class of discrete time stochastic processes generated by a two-color generalized Pólya urn, that is reinforced every time. A single urn contains

Cite this paper

D. Aoudia and F. Perron, "A New Randomized Pólya Urn Model,"*Applied Mathematics*, Vol. 3 No. 12, 2012, pp. 2118-2122. doi: 10.4236/am.2012.312A292.

D. Aoudia and F. Perron, "A New Randomized Pólya Urn Model,"

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