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Urn-related random walk with drift ρxα/tβ

Menshikov, Mikhail and Volkov, Stanislav LU (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:
author
publishing date
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
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
2014-08-18 15:31:39
date last changed
2016-06-29 09:18:22
@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},
  keyword      = {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          = {http://dx.doi.org/10.1214/EJP.v13-508},
  volume       = {13},
  year         = {2008},
}