Lectures on free probability (Q4511092)

According to the author, an answer to the question as to what free probability theory actually is, is described by the following exact formula: ``free probability theory = noncommutative probability theory + free independence.'' He also writes: ``Around 1982, I realized that the right way to look at certain operator algebra problems was by imitating some basic probability theory.'' More precisely, in noncommutative probability theory a new kind of independence can be defined by replacing tensor products with free products, and this can help to understand the von Neumann algebras of free groups. The purpose of these lectures is not to discuss the applications to von Neumann algebras, but to dwell on the noncommutative probability side itself. Therefore, the operator algebra prerequisites are kept to a minimum, and the emphasis is put on the parallelism to classical probability and on random matrices. These lecture notes are designed for probabilists with no operator algebra background, so all elementary items on operator algebras are provided in Section 1. Furthermore, the material in free probability theory is carefully chosen and properly arranged so that these notes are easily accessible to non-specialists. The reviewer thinks that these lectures are successfully well written as an introduction to free probability theory. The contents are as follows. Section 2, ``Addition of freely independent noncommutative random variables'', includes the presentatiin of the free analogues of the central limit theorem, of Poisson's law, of infinite divisibility, and of the Lévy-Khinchin theorem. Section 3 treats the multiplication of freely independent noncommutative random variables, and Sections 4 and 5 are devoted to the generalized canonical form \& noncrossing partitions and to free independence with amalgamation, respectively. Section 6, ``Some basic free processes'', deals with the free analogues of Gaussian functor, of Poisson and stationary processes, and of the Markovianity. Asymptotic free independence as well as Gaussian matrices are discussed in Section 7, where large random matrices provide an asymptotic model of free probability theory, and its application to the large \(N\) limit is explained as well. In the last section (Section 8) the author introduces free entropy, which is the free analogue of the entropy quantity in Shannon's information theory. The free Fisher information is also discussed. There are seventy references listed in the bibliography. In order to learn more details on free probability theory, interested readers may consult the following monograph: \textit{D. Voiculescu, K. J. Dykema} and \textit{A. Nica} [Free Random Variables, CRM Monograph Series Vol. 1, Am. Math. Soc., Providence, R. I. (1992; Zbl 0795.46049)]. Unfortunately, the topic on stochastic free integration is not discussed in these notes: see, e.g., \textit{B. Kummerer} and \textit{R. Speicher} [J. Funct. Anal. 103, 372-408 (1992; Zbl 0787.46052)]). For the entire collection see [Zbl 0941.00026].