Large deviations for generalized Polya urns with arbitrary urn function

Simone Franchini

Stochastic Processes and their Applications, 2017, vol. 127, issue 10, 3372-3411

Abstract: We consider a generalized two-color Polya urn (black and white balls) first introduced by Hill et al. (1980), where the urn composition evolves as follows: let π:0,1→0,1, and denote by xn the fraction of black balls after step n, then at step n+1 a black ball is added with probability πxn and a white ball is added with probability 1−πxn. Originally introduced to mimic attachment under imperfect information, this model has found applications in many fields, ranging from Market Share modeling to polymer physics and biology.

Keywords: Large deviations; Urn models; Markov chains (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spa.2017.02.010

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