 Positivity of the limiting Pólya urn proportion

Both colour counts tend to infinity almost surely. For example, $X_n\ge B_0/(m+n)$, and independent events $U_{n+1}\le B_0/[2(n+1)]$ occur infinitely often by the Borel-Cantelli second lemma, forcing infinitely many blue additions.

The martingale increment formula gives $\mathbb{E}[(X_{k+1}-X_k{)}^2\mid {\mathcal{F}}_k]\le X_k/(m+k+1{)}^2$. Conditional orthogonality of later increments and $\mathbb{E}[X_k\mid {\mathcal{F}}_n]=X_n$ implyOn $X_{\infty }=0$ the squared difference is $X_n^2$, so its conditional probability is at most $1/[(m+n)X_n]=1/B_n\to 0$. Dominated convergence proves zero probability of that endpoint. The symmetric argument for red excludes $X_{\infty }=1$. No explicit beta law is needed for this proof.