The Rescaled Pólya Urn and the Wright—Fisher Process with Mutation

In recent papers the authors introduce, study and apply a variant of the Eggenberger—Polya urn, called the “rescaled” Polya urn, which, for a suitable choice of the model parameters, exhibits a reinforcement mechanism mainly based on the last observations, a random persistent fluctuation of the predictive mean and the almost sure convergence of the empirical mean to a deterministic limit. In this work, motivated by some empirical evidence, we show that the multidimensional Wright—Fisher diffusion with mutation can be obtained as a suitable limit of the predictive means associated to a family of rescaled Polya urns.