Journal article

CURIOSITIES REGARDING WAITING TIMES IN POLYA'S URN MODEL

Norbert Henze, Mark Holmes

Transactions of A. Razmadze Mathematical Institute | Elsevier | Published : 2020

Abstract

Consider an urn, initially containing b black and w white balls. Select a ball at random and observe its colour. If it is black, stop. Otherwise, return the white ball together with another white ball to the urn. Continue selecting at random, each time adding a white ball, until a black ball is selected. Let Tb,w denote the number of draws until this happens. Surprisingly, the expectation of Tb,w is infinite for the “fair” initial scenario b = w = 1, but finite if b = 2 and w = 109 . In fact, E[Tb,w] is finite if and only if b ≥ 2, and the variance of Tb,w is finite if and only if b ≥ 3, regardless of the number w of white balls. These observations extend to higher moments.

University of Melbourne Researchers

Grants

Awarded by Australian Research Council


Funding Acknowledgements

The work of MH is supported by Future Fellowship FT160100166 from the Australian Research Council. The authors thank a referee whose comments helped to improve the paper. The authors thank the organisers of the International Conference on Probability Theory and Statistics in Tbilisi, 2019, for bringing them together. Finally, the authors thank and congratulate Estate Khmaladze for many years of outstanding contributions to statistics and probability.