A note on P\'olya urns: the winner may lead all the time

Abstract

Consider a P\'olya urn where a drawn ball of colour $i$ is replaced together with a fixed number $m_i$ of balls of the same colour. We give a simple proof that if, for example, there are two colours and the urn starts with more balls of colour 1 than 2, and $m_1\ge m_2$, then there is a positive probability that there always will be more balls of colour 1 than colour 2.