On free Generalized Inverse Gaussian distributions

DOI10.1007/S11785-018-0790-9MaRDI QIDQ6292481arXivFDO

Authors Takahiro Hasebe, Kamil Szpojankowski

Publication date 12 October 2017

Published in arXiv

Full work available at URL https://doi.org/10.1007/S11785-018-0790-9

Mathematics Subject Classification ID

Operator theory (47-XX)

arXiv classification

math.OAmath.PR

Abstract: We study here properties of free Generalized Inverse Gaussian distributions (fGIG) in free probability. We show that in many cases the fGIG shares similar properties with the classical GIG distribution. In particular we prove that fGIG is freely infinitely divisible, free regular and unimodal, and moreover we determine which distributions in this class are freely selfdecomposable. In the second part of the paper we prove that for free random variables $X,Y$ where $Y$ has a free Poisson distribution one has $Xstackreld=frac1X+Y$ if and only if $X$ has fGIG distribution for special choice of parameters. We also point out that the free GIG distribution maximizes the same free entropy functional as the classical GIG does for the classical entropy.

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