Lectures on free probability
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].
- Free Markov processes and stochastic differential equations in von Neumann algebras
- Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
- Free martingale polynomials.
- Cumulants, lattice paths, and orthogonal polynomials
- Combinatorics of free cumulants
- Itô formula for free stochastic integrals
- Large deviations asymptotics for spherical integrals
- Quantum walk in terms of quantum Bernoulli noise and quantum central limit theorem for quantum Bernoulli noise
- Long time behaviour of the solution to non-linear Kraichnan equations
- Conditional moments of \(q\)-Meixner processes
- Multinomial identities arising from free probability theory.
- The incidence comodule bialgebra of the Baez-Dolan construction
- Maximal correlation and monotonicity of free entropy and of Stein discrepancy
- A survey on the effects of free and Boolean convolutions on Cauchy-Stieltjes kernel families
- Stieltjes moment sequences for pattern-avoiding permutations
- Free point processes and free extreme values
- Asymptotics of unitary and orthogonal matrix integrals
- Joint spectrum and joint distribution
- On superconvergence of sums of free random variables
- Second order asymptotics for matrix models
- \(\eta\)-series and a Boolean Bercovici--Pata bijection for bounded \(k\)-tuples
- Asymptotics of characters of symmetric groups, genus expansion and free probability.
- Second order freeness and fluctuations of random matrices. I: Gaussian and Wishart matrices and cyclic Fock spaces
- On a class of free Lévy laws related to a regression problem
- Linearization coefficients for orthogonal polynomials using stochastic processes
- Berry--Esseen for free random variables
- Free probability theory and free diffusion
- Remarks on free mutual information and orbital free entropy
- Noncommutative potential theory: a survey
- Noncommutative probability and random matrices at Saint-Flour.
- Fluctuations at the edges of the spectrum of the full rank deformed GUE
- Asymptotic distribution of singular values for matrices in a spherical ensemble
- Basics in free probability
- Nobel Lecture: Asymptotic freedom: From paradox to paradigm
- Free Random Variables
- scientific article; zbMATH DE number 6497015 (Why is no real title available?)
- Lectures on the Combinatorics of Free Probability
- Classical and free infinite divisibility and Lévy processes
- The multitime correlation functions, free white noise, and the generalized Poisson statistics in the low density limit
- Asymptotic expansions in the CLT in free probability
- Brownian particles with electrostatic repulsion on the circle: Dyson's model for unitary random matrices revisited
- scientific article; zbMATH DE number 1790016 (Why is no real title available?)
- Approximation of a free Poisson process by systems of freely independent particles
- The bi-free extension of free probability
- Free probability for pairs of faces. I
- scientific article; zbMATH DE number 849958 (Why is no real title available?)
- scientific article; zbMATH DE number 877809 (Why is no real title available?)
- On a relation between classical and free infinitely divisible transforms
- On the families of polynomials forming a part of the Askey–Wilson scheme and their probabilistic applications
- Random matrices and free probability
- Free probability for pairs of faces. IV: Bi-free extremes in the plane
- Independences of operator algebras and joint spectrum of operators
- Dirichlet Forms on Noncommutative Spaces
- On the structure and probabilistic interpretation of Askey-Wilson densities and polynomials with complex parameters
- scientific article; zbMATH DE number 2212134 (Why is no real title available?)
- scientific article; zbMATH DE number 2222538 (Why is no real title available?)
- scientific article; zbMATH DE number 2222542 (Why is no real title available?)
- Central limit theorem for the heat kernel measure on the unitary group
- Quantum permutation matrices
- The emergence of noncommutative potential theory
- Asymptotic properties of random matrices and pseudomatrices
- Quantum permutation matrices
- Spectra of large dimensional random Gram matrices under partial dependence
- Self-decomposability and Lévy processes in free probability
- Large N limit of the Yang-Mills measure on compact surfaces. II: Makeenko-Migdal equations and the planar master field
- Matrix models at low temperature
- Non-crossing partitions
- The spectrum of kernel random matrices
- Free extreme values
- Integration over quantum permutation groups
- Second order freeness and fluctuations of random matrices. II: Unitary random matrices
- Explicit forms of \(q\) -deformed Lévy-Meixner polynomials and their generating functions
- Free probability and the von Neumann algebras of free groups
- Integration over the Pauli quantum group
- Matricially free random variables
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