Strong Convergence of Infinite Color Balanced Urns Under Uniform Ergodicity

Abstract

We consider the generalization of the P\'olya urn scheme with possibly infinite many colors as introduced in \cite{Th-Thesis, BaTH2014, BaTh2016, BaTh2017}. For countable many colors, we prove almost sure convergence of the urn configuration under \emph{uniform ergodicity} assumption on the associated Markov chain. The proof uses a stochastic coupling of the sequence of chosen colors with a \emph{branching Markov chain} on a weighted \emph{random recursive tree} as described in \cite{BaTh2017, Sv_2018}. Using this coupling we estimate the covariance between any two selected colors. In particular, we reprove the limit theorem for the classical urn models with finitely many colors.