Martingale functional central limit theorems for a generalized Pólya urn
Consider a generalized Pólya urn scheme with \(W_ n\) white and \(B_ n\) black balls in the urn at the stage \(n\). Balls are drawn at random in succession and replaced in the urn together with other balls. If a white ball is drawn, it is returned to the urn with \(a\) white and \(b\) black balls. If a black ball is drawn, it is replaced with \(c\) white and \(d\) black balls. It is assumed that \(b,c \geq 0\), \(a+b = c + d = s\geq 1\), \(a\neq c\) and that the process does not stop because of impossible removals (in cases \(a < 0\) or \(d < 0\) which are allowed). Denote \(\rho = (a-c)/s\) the ratio of eigenvalues of the replacement matrix. By using martingale techniques there are obtained several weak invariance principles for the urn process \(W_ n\) according to different values of \(\rho\) and the product \(bc\) including also the case \(bc = 0\). The limiting Gaussian processes, the normalizing constants and tools used in the proofs depend on parameters \(\rho\) and \(bc\). The paper is motivated by and extends results of \textit{A. Bagchi} and \textit{A. K. Pal} [SIAM J. Algebraic Discrete Methods 6, 394-405 (1985; Zbl 0568.60010)].
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