Matricial model for the free multiplicative convolution

DOI10.1214/15-AOP1024MaRDI QIDQ317467zbMATH OpenFDO

Authors Guillaume Cébron

Publication date 30 September 2016

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.5286, https://projecteuclid.org/euclid.aop/1470139146

zbMATH Keywords

additive convolutionfree probabilityHermitian matriceshomomorphisminfinitesly divisible distributionsLévy processesmultiplicative convolutionrandom matricesunitary matrices

Mathematics Subject Classification ID

Orthogonal matrices (15B10) Random matrices (algebraic aspects) (15B52) Hermitian, skew-Hermitian, and related matrices (15B57) Free probability and free operator algebras (46L54) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Random matrices (probabilistic aspects) (60B20) Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

Abstract: This paper investigates homomorphisms `a la Bercovici-Pata between additive and multiplicative convolutions. We also consider their matricial versions which are associated with measures on the space of Hermitian matrices and on the unitary group. The previous results combined with a matricial model of Benaych-Georges and Cabanal-Duvillard allows us to define and study the large N limit of a new matricial model on the unitary group for free multiplicative L'evy processes.

Review text

This work analyzes homomorphisms between additive and multiplicative convolutions, the classical (additive) convolution on \(\mathbb{R}\) and the classical (multiplicative) convolutions on the unit circle in \(\mathbb{C}\). These correspond to the addition and to the multiplication, respectively, of independent random variables. The author also considers their matricial versions which are related to measures on the space of Hermitian matrices and on the group of unitary matrices. All the results allow to define and study a new matricial model on the unitary group for free multiplicative Lévy processes.

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Cited in

(11)

• Classical and free infinitely divisible distributions and random matrices
• Limit theorems for free Lévy processes
• Generalised operations in free harmonic analysis
• The generalized master fields
• On multiplicative conditionally free convolution
• Homomorphisms relative to additive convolutions and max-convolutions: free, Boolean and classical cases
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• Repeated differentiation and free unitary Poisson process
• Wilson loop expectations as sums over surfaces on the plane
• Lee-Yang zeroes of the Curie-Weiss ferromagnet, unitary Hermite polynomials, and the backward heat flow
• Optimal control and potential games in the mean field

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