Dynamics of an adaptive randomly reinforced urn (Q1697052): Difference between revisions

A randomly reinforced urn model can be defined by $(Y_{1,n},Y_{2,n})$ random variables meaning the number of balls of red and white colors. At time $n=0$ a ball is drawn randomly from the $(y_{1,0},y_{2,0})$ balls. If a red ball is selected, it will be returned together with $D_{1,1}$ red balls. If a white ball is selected, it will be returned with $D_{2,1}$ while balls. Let $Y_{1,1}=y_{1,0}+D_{1,1}$ and $Y_{2,1}=y_{2,0}$ be the urn composition when the selected ball is red. Let $Y_{1,1}=y_{1,0}$ and $Y_{2,1}=y_{2,0}+D_{2,1}$ be the urn composition when the selected ball is white. The process is continued leading to $\{(Y_{1,n},Y_{2,n});n\ge1\}$. We have independent collections of i.i.d random variables $\{D_{1,n};n\ge1\}$ and $\{D_{2,n};n\ge1\}$. Set $m_1=E(D_{1,n})$ and $m_2=E(D_{2,n})$. Suppose $\rho_1$ and $\rho_2$ are unknown and rely on the parameters of $D_{1,1}$ and $D_{2,1}$. Let $\mathcal{F}_{n-1}$ be the sigma algebra generated by the information up to time $n-1$ and set $\hat{\rho}_{1,n-1}$ and $\hat{\rho}_{2,n-1}$ be two random variables that are $\mathcal{F}_{n-1}$-measurable. If the sequence $\hat{\rho}_{i,n}$ converges in probability to $\rho_i$ as $n\rightarrow\infty$ for $i=1,2$, it is shown that the urn proportions have weak consistency results when $m_1\not=m_2$. Some second order results are proved for the urn proportions and the proportion of selected ball colors when $m_1=m_2$.