Arkiv för Matematik
Volume 59 (2021)
A.s. convergence for infinite colour Pólya urns associated with random walks
Pages: 87 – 123
We consider Pólya urns with infinitely many colours that are of a random walk type, in two related versions. We show that the colour distribution a.s., after rescaling, converges to a normal distribution, assuming only second moments on the offset distribution. This improves results by Bandyopadhyay and Thacker (2014–2017; convergence in probability), and Mailler and Marckert (2017; a.s. convergence assuming exponential moment).
2010 Mathematics Subject Classification
Partly supported by the Knut and Alice Wallenberg Foundation.
Received 19 June 2019
Received revised 18 October 2020
Accepted 27 October 2020
Published 4 May 2021