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Urn-related random walk with drift $\rho x^\alpha / t^\beta$


 
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1. Title Title of document Urn-related random walk with drift $\rho x^\alpha / t^\beta$
 
2. Creator Author's name, affiliation, country Mikhail Menshikov; University of Durham
 
2. Creator Author's name, affiliation, country Stanislav Volkov; University of Bristol
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Random walks; urn models; martingales
 
3. Subject Subject classification 60G20; 60K35
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-06-12
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/508
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-508
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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