Elephant Random Walks and their connection to Pólya-type urns

In this paper, we explain the connection between the Elephant Random Walk (ERW) and an urn model à la Pólya and derive functional limit theorems for the former. The ERW model was introduced by Schütz and Trimper [2004] to study memory effects in a one-dimensional discrete-time random walk with a complete memory of its past. The influence of the memory is measured in terms of a parameter $p$ between zero and one. In the past years, a considerable effort has been undertaken to understand the large-scale behavior of the ERW, depending on the choice of $p$. Here, we use known results on urns to explicitly solve the ERW in all memory regimes. The method works as well for ERWs in higher dimensions and is widely applicable to related models.

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