Convergence of randomized urn models with irreducible and reducible replacement policy

Generalized Friedman urn is one of the simplest and most useful models considered in probability theory. Since Athreya and Ney (1972) showed the almost sure convergence of urn proportions in a randomized urn model with irreducible replacement matrix under the $L\log L$ moment assumption, this assumption has been regarded as the weakest moment assumption, but the necessary has never been shown. In this paper, we study the strong and weak convergence of generalized Friedman urns. It is proved that, when the random replacement matrix is irreducible in probability, the sufficient and necessary moment assumption for the almost sure convergence of the urn proportions is that the expectation of the replacement matrix is finite, which is less stringent than the $L\log L$ moment assumption, and when the replacement is reducible, the $L\log L$ moment assumption is the weakest sufficient condition. The rate of convergence and the strong and weak convergence of non-homogenous generalized Friedman urns are also derived.

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