Abstract
In this paper, we prove convergence and fluctuation results for measure-valued Pólya processes (MVPPs, also known as Pólya urns with infinitely-many colours). Our convergence results hold almost surely and in . Our fluctuation results are the first second-order results in the literature on MVPPs; they generalise classical fluctuation results from the literature on finitely-many-colour Pólya urns. As in the finitely-many-colour case, the order and shape of the fluctuations depend on whether the “spectral gap is small or large”.
To prove these results, we show that MVPPs are stochastic approximations taking values in the set of measures on a measurable space E (the colour space). We then use martingale methods and standard operator theory to prove convergence and fluctuation results for these stochastic approximations.
Funding Statement
Svante Janson is supported by the Knut and Alice Wallenberg Foundation. Cécile Mailler is grateful to EPSRC for support through the fellowship EP/R022186/1.
Citation
Svante Janson. Cécile Mailler. Denis Villemonais. "Fluctuations of balanced urns with infinitely many colours." Electron. J. Probab. 28 1 - 72, 2023. https://doi.org/10.1214/23-EJP951
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