Urn-related random walk with drift $ρx^α / t^β$

Details Urn-related random walk with drift $ρx^α / t^β$ Urn-related random walk with drift $ρx^α / t^β$

2007-11-15

arxiv.org/abs/0711.2373v1

Mathematics

Probability

23 pages

Scientific paper

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.

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