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arxiv: 1002.3716 · v1 · submitted 2010-02-19 · 🧮 math.PR

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Generalized Polya urns via stochastic approximation

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keywords ballscolorsdrawnpolyaaccordingapproximationpossiblyreplaced
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We collect, survey and develop methods of (one-dimensional) stochastic approximation in a framework that seems suitable to handle fairly broad generalizations of Polya urns. To show the applicability of the results we determine the limiting fraction of balls in an urn with balls of two colors. We consider two models generalizing the Polya urn, in the first one ball is drawn and replaced with balls of (possibly) both colors according to which color was drawn. In the second, two balls are drawn simultaneously and replaced along with balls of (possibly) both colors according to what combination of colors were drawn.

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  1. Moderate Deviation Principle for a Stochastic Approximation Process

    math.PR 2026-05 unverdicted novelty 6.0

    A moderate deviation principle holds for the stochastic approximation recursion X_{n+1} = X_n + (b/(n+1))[g(X_n) + U_{n+1}] with bounded martingale differences U_n.