Free stochastic measures via noncrossing partitions

DOI10.1006/AIMA.2000.1936zbMATH Open0978.46041arXivmath/9903084OpenAlexW1990717944MaRDI QIDQ1590970FDOQ1590970

Authors: Michael Anshelevich 

Publication date: 15 January 2002

Published in: Advances in Mathematics (Search for Journal in Brave)

Abstract: We consider free multiple stochastic measures in the combinatorial framework of the lattice of all diagonals of an n-dimensional space. In this free case, one can restrict the analysis to only the noncrossing diagonals. We give definitions of what free multiple stochastic measures are, and calculate them for the free Poisson and free compound Poisson processes. We also derive general combinatorial It^{o}-type relationships between free stochastic measures of different orders. These allow us to calculate, for example, free Poisson-Charlier polynomials, which are the orthogonal polynomials with respect to the free Poisson measure.

Full work available at URL: https://arxiv.org/abs/math/9903084

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zbMATH Keywords

Poisson-Charlier polynomialsnoncrossing partitionfree stochastic measurefree Poisson processfree compound Poisson processfree Kailath-Segall formula[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+product+formula&go=Go It�� product formula]

Mathematics Subject Classification ID

Noncommutative probability and statistics (46L53) Free probability and free operator algebras (46L54)

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Cited In (13)

• Itô formula for free stochastic integrals
• Wigner chaos and the fourth moment
• Graph-theoretic approach to stochastic integrals with Clifford algebras
• Title not available (Why is that?)
• A noncrossing basis for noncommutative invariants of \(SL(2, \mathbb C)\)
• NONCOMMUTATIVE BROWNIAN MOTIONS ASSOCIATED WITH KESTEN DISTRIBUTIONS AND RELATED POISSON PROCESSES
• The Lévy-Itô decomposition in free probability
• Multiple Stratonovich integral and Hu-Meyer formula for Lévy processes
• Linearization coefficients for orthogonal polynomials using stochastic processes
• Free stochastic measures via noncrossing partitions. II.
• Free martingale polynomials.
• Semicircular limits on the free Poisson chaos: counterexamples to a transfer principle
• Free probability aspect of irreducible meandric systems, and some related observations about meanders

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