From infinite urn schemes to decompositions of self-similar Gaussian processes

Olivier Durieu (1, 2) , Yizao Wang (3)

1 LMPT - Laboratoire de Mathématiques et Physique Théorique
2 FDP - Fédération de recherche Denis Poisson
3 Department of Mathematical Sciences [Cincinnati]

We investigate a special case of infinite urn schemes first considered by Karlin (1967), especially its occupancy and odd-occupancy processes. We first propose a natural randomization of these two processes and their decompositions. We then establish functional central limit theorems, showing that each randomized process and its components converge jointly to a decomposition of certain self-similar Gaussian process. In particular, the randomized occupancy process and its components converge jointly to the decomposition of a time-changed Brownian motion $\mathbb B(t^\alpha), \alpha\in(0,1)$, and the randomized odd-occupancy process and its components converge jointly to a decomposition of fractional Brownian motion with Hurst index $H\in(0,1/2)$. The decomposition in the latter case is a special case of the decompositions of bi-fractional Brownian motions recently investigated by Lei and Nualart (2009). The randomized odd-occupancy process can also be viewed as correlated random walks, and in particular as a complement to the model recently introduced by Hammond and Sheffield (2013) as discrete analogues of fractional Brownian motions.

Domaines: Probabilités [math.PR]

Olivier Durieu, Yizao Wang. From infinite urn schemes to decompositions of self-similar Gaussian processes. Electronic Journal of Probability, 2016, 21, pp.43. ⟨10.1214/16-EJP4492⟩. ⟨hal-01184411v2⟩