Urn-related random walk with drift ρxα/tβ
(2008) In Electronic Journal of Probability 13. p.944-960- Abstract
- We study a one-dimensional random walk whose expected drift depends both on time and the position of a particle. We establish a non-trivial phase transition for the recurrence vs. transience of the walk, and show some interesting applications to Friedman's urn, as well as showing the connection with Lamperti's walk with asymptotically zero drift.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4588111
- author
- Menshikov, Mikhail and Volkov, Stanislav LU
- publishing date
- 2008
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- random walks, urn models, martingales
- in
- Electronic Journal of Probability
- volume
- 13
- pages
- 944 - 960
- publisher
- UNIV WASHINGTON, DEPT MATHEMATICS
- external identifiers
-
- scopus:45849103884
- ISSN
- 1083-6489
- DOI
- 10.1214/EJP.v13-508
- language
- English
- LU publication?
- no
- id
- b0dd8658-97e7-4844-9342-c6e541545aff (old id 4588111)
- date added to LUP
- 2016-04-01 13:30:07
- date last changed
- 2022-03-21 18:57:09
@article{b0dd8658-97e7-4844-9342-c6e541545aff, abstract = {{We study a one-dimensional random walk whose expected drift depends both on time and the position of a particle. We establish a non-trivial phase transition for the recurrence vs. transience of the walk, and show some interesting applications to Friedman's urn, as well as showing the connection with Lamperti's walk with asymptotically zero drift.}}, author = {{Menshikov, Mikhail and Volkov, Stanislav}}, issn = {{1083-6489}}, keywords = {{random walks; urn models; martingales}}, language = {{eng}}, pages = {{944--960}}, publisher = {{UNIV WASHINGTON, DEPT MATHEMATICS}}, series = {{Electronic Journal of Probability}}, title = {{Urn-related random walk with drift ρxα/tβ}}, url = {{https://lup.lub.lu.se/search/files/3406537/4588768.pdf}}, doi = {{10.1214/EJP.v13-508}}, volume = {{13}}, year = {{2008}}, }