Limit theorems for triangular urn schemes

Abstract

We study a generalized Pólya urn with balls of two colours and a triangular replacement matrix; the urn is not required to be balanced. We prove limit theorems describing the asymptotic distribution of the composition of the urn after a long time. Several different types of asymptotics appear, depending on the ratio of the diagonal elements in the replacement matrix; the limit laws include normal, stable and Mittag-Leffler distributions as well as some less familiar ones. The results are in some cases similar to, but in other cases strikingly different from, the results for irreducible replacement matrices. © 2005 Springer-Verlag Berlin Heidelberg.