Smoothing equations for large Pólya urns

DOI10.1007/S10959-013-0530-ZzbMATH Open1358.60010arXiv1302.1412OpenAlexW1980631227MaRDI QIDQ895897FDOQ895897

Brigitte Chauvin, Nicolas Pouyanne, Cécile Mailler

Publication date: 7 December 2015

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: Consider a balanced non triangular two-color P'olya-Eggenberger urn process, assumed to be large which means that the ratio sigma of the replacement matrix eigenvalues satisfies 1/2<sigma <1. The composition vector of both discrete time and continuous time models admits a drift which is carried by the principal direction of the replacement matrix. In the second principal direction, this random vector admits also an almost sure asymptotics and a real-valued limit random variable arises, named WDT in discrete time and WCT in continous time. The paper deals with the distributions of both W. Appearing as martingale limits, known to be nonnormal, these laws remain up to now rather mysterious. Exploiting the underlying tree structure of the urn process, we show that WDT and WCT are the unique solutions of two distributional systems in some suitable spaces of integrable probability measures. These systems are natural extensions of distributional equations that already appeared in famous algorithmical problems like Quicksort analysis. Existence and unicity of the solutions of the systems are obtained by means of contracting smoothing transforms. Via the equation systems, we find upperbounds for the moments of WDT and WCT and we show that the laws of WDT and WCT are moment-determined. We also prove that WDT is supported by the whole real line and admits a continuous density (WCT was already known to have a density, infinitely differentiable on R{0} and not bounded at the origin).

Full work available at URL: https://arxiv.org/abs/1302.1412

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zbMATH Keywords

martingalemultitype branching processcontraction methodsmoothing transformsmoment-determined probability distributionsPólya urn model

Mathematics Subject Classification ID

Combinatorial probability (60C05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Probabilistic methods in extremal combinatorics, including polynomial methods (combinatorial Nullstellensatz, etc.) (05D40)

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Cited In (13)

• Refined asymptotics for the composition of cyclic urns
• Nonlinear randomized urn models: a stochastic approximation viewpoint
• Two-color balanced affine urn models with multiple drawings
• Synchronization and fluctuations for interacting stochastic systems with individual and collective reinforcement
• Distributions in the constant-differentials Pólya process
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• MATRIX-MFO tandem workshop: Stochastic reinforcement processes and graphs. Abstracts from the MATRIX-MFO tandem workshop held March 5--10, 2023
• On martingale tail sums in affine two-color urn models with multiple drawings
• On densities for solutions to stochastic fixed point equations
• Periodic P\'olya urns and an application to Young tableaux
• Moment convergence of balanced Pólya processes
• Periodic Pólya urns, the density method and asymptotics of Young tableaux
• Pólya urns with immigration at random times

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