Crane, E. and Georgiou, N. and Volkov, Stanislav and Wade, Andrew and Waters, R.J. (2011) The simple harmonic urn. Annals of Probability, 39 (6). 2119–2177.

PDF
shu_revised.pdf  Draft Version Download (746kB)  Preview 
Abstract
We study a generalized Polya 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 colours 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 colours swap, the process is positiverecurrent. 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 continuoustime 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 twodimensional 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 birthdeath 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.
Item type:  Article 

ID code:  29125 
Keywords:  urn model, recurrence classification , uniform renewal process , oriented percolation , twodimensional linear birth and death process, Bessel process, coupling, Eulerian numbers, Probabilities. Mathematical statistics, Statistics and Probability, Statistics, Probability and Uncertainty 
Subjects:  Science > Mathematics > Probabilities. Mathematical statistics 
Department:  Faculty of Science > Mathematics and Statistics 
Depositing user:  Pure Administrator 
Date Deposited:  22 Mar 2011 12:07 
Last modified:  21 May 2015 13:02 
Related URLs:  
URI:  http://strathprints.strath.ac.uk/id/eprint/29125 
Actions (login required)
View Item 