The simple harmonic urn

DOI10.1214/10-AOP605zbMATH Open1262.60070arXiv0911.0321MaRDI QIDQ653300FDOQ653300

Authors: Edward Crane, Nicholas Georgiou, Stanislav Volkov, Andrew R. Wade, Robert J. Waters 

Publication date: 9 January 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We study a generalized P'{o}lya urn model with two types of ball. If the drawn ball is red, it is replaced together with a black ball, but if the drawn ball is black it is replaced and a red ball is thrown out of the urn. When only black balls remain, the roles of the colors are swapped and the process restarts. We prove that the resulting Markov chain is transient but that if we throw out a ball every time the colors swap, the process is recurrent. We show that the embedded process obtained by observing the number of balls in the urn at the swapping times has a scaling limit that is essentially the square of a Bessel diffusion. We consider an oriented percolation model naturally associated with the urn process, and obtain detailed information about its structure, showing that the open subgraph is an infinite tree with a single end. We also study a natural continuous-time embedding of the urn process that demonstrates the relation to the simple harmonic oscillator; in this setting, our transience result addresses an open problem in the recurrence theory of two-dimensional linear birth and death processes due to Kesten and Hutton. We obtain results on the area swept out by the process. We make use of connections between the urn process and birth--death processes, a uniform renewal process, the Eulerian numbers, and Lamperti's problem on processes with asymptotically small drifts; we prove some new results on some of these classical objects that may be of independent interest. For instance, we give sharp new asymptotics for the first two moments of the counting function of the uniform renewal process. Finally, we discuss some related models of independent interest, including a "Poisson earthquakes" Markov chain on the homeomorphisms of the plane.

Full work available at URL: https://arxiv.org/abs/0911.0321

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zbMATH Keywords

couplingEulerian numbersBessel processoriented percolationurn modelrecurrence classificationtwo-dimensional linear birth and death processuniform renewal process

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Continuous-time Markov processes on general state spaces (60J25) Renewal theory (60K05)

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Cited In (8)

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• Linear competition processes and generalized Pólya urns with removals
• Impatient random walk
• A new approach to Pólya urn schemes and its infinite color generalization
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