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Elephant random walks and their connection to Pólya-type urns


Baur, Erich; Bertoin, Jean (2016). Elephant random walks and their connection to Pólya-type urns. Physical Review E, 94(5):online.

Abstract

In this paper, we explain the connection between the elephant random walk (ERW) and an urn model à la Pólya and derive functional limit theorems for the former. The ERW model was introduced in [Phys. Rev. E 70, 045101 (2004)] to study memory effects in a highly non-Markovian setting. More specifically, the ERW is a one-dimensional discrete-time random walk with a complete memory of its past. The influence of the memory is measured in terms of a memory parameter $p$ between zero and one. In the past years, a considerable effort has been undertaken to understand the large-scale behavior of the ERW, depending on the choice of $p$. Here, we use known results on urns to explicitly solve the ERW in all memory regimes. The method works as well for ERWs in higher dimensions and is widely applicable to related models.

Abstract

In this paper, we explain the connection between the elephant random walk (ERW) and an urn model à la Pólya and derive functional limit theorems for the former. The ERW model was introduced in [Phys. Rev. E 70, 045101 (2004)] to study memory effects in a highly non-Markovian setting. More specifically, the ERW is a one-dimensional discrete-time random walk with a complete memory of its past. The influence of the memory is measured in terms of a memory parameter $p$ between zero and one. In the past years, a considerable effort has been undertaken to understand the large-scale behavior of the ERW, depending on the choice of $p$. Here, we use known results on urns to explicitly solve the ERW in all memory regimes. The method works as well for ERWs in higher dimensions and is widely applicable to related models.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Language:English
Date:November 2016
Deposited On:25 Jan 2017 10:33
Last Modified:25 Jan 2017 10:33
Publisher:American Physical Society
ISSN:2470-0045
Publisher DOI:https://doi.org/10.1103/PhysRevE.94.052134

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