Free stochastic measures via noncrossing partitions (Q1590970): Difference between revisions

A specific interest of this paper consists in free multiple stochastic measures in the combinatorial framework of the lattice of all diagonals of an \(n\)-dimensional space, where only the analysis on the noncrossing diagonals has a significant meaning. Motivated by the key point of \textit{G.-C. Rota} and \textit{T. C. Wallstrom} [Ann. Probab. 25, No. 3, 1257-1283 (1997; Zbl 0886.60046)] that the stochastic measures St\(_{\pi}\) can be expressed combinatorially through the product measures \(\text{Pr}_{\sigma}\), and also suggested by \textit{P. Biane} and \textit{R. Speicher} [Probab. Theory Relat. Fields 112, No. 3, 373-409 (1998; Zbl 0919.60056)], the author proceeds into the study of free Poisson process and stochastic measures in free probability. Firstly, free multiple stochastic measures for the free compound Poisson processes, as well as for the free Poisson process, are explicitly calculated. In addition, the author expresses in particular free Poisson-Charlier polynomials, which are orthogonal relative to the free Poisson measure. Finally, in the language of the lattice of noncrossing partitions the author succeeds in deriving a combinatorial form of the Itô product formula for the general free stochastic measures. As the analog of the Theorem 2 of Rota and Wallstrom (loc. cit.), the author also shows the free Kailath-Segall formula, and moreover, recursion relations not only for the free Poisson process but also for the free Poisson-Charlier polynomials are derived as well.