scientific article; zbMATH DE number 2053008
Let \(\{X_n\}\) be the two-dimensional stochastic process representing the proportions of white and black balls, in the urn at stage \(n \in \mathbb{N}\), in a generalized Pólya urn model admitting non-deterministic total replacement, studied by \textit{S. Kotz}, \textit{H. Mahmoud} and \textit{P. Robert} [Stat. Probab. Lett. 49, 163-173 (2000; Zbl 0965.60027)]. The authors prove that this process satisfies the equation known as the Robbins-Monro algorithm of stochastic approximation. Using the method relating a recurrence equation with an ODE [see \textit{H. J. Kushner} and \textit{G. G. Yin}, ``Stochastic approximation algorithms and applications (1997; Zbl 0914.60006)], they establish the a.s. convergence of \(\{X_n\}\) with an explicit formula for the limit. For the entire collection see [Zbl 1024.00039].
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