Completely random measures and Lévy bases in free probability
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Publication:2042844
DOI10.1214/21-EJP620zbMATH Open1480.46080arXiv2007.05336OpenAlexW3158820162MaRDI QIDQ2042844FDOQ2042844
Authors: Francesca Collet, Fabrizio Leisen, Steen Thorbjørnsen 
Publication date: 21 July 2021
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Abstract: This paper develops a theory for completely random measures in the framework of free probability. A general existence result for free completely random measures is established, and in analogy to the classical work of Kingman it is proved that such random measures can be decomposed into the sum of a purely atomic part and a (freely) infinitely divisible part. The latter part (termed a free L'evy basis) is studied in detail in terms of the free L'evy-Khintchine representation and a theory parallel to the classical work of Rajput and Rosinski is developed. Finally a L'evy-It^o type decomposition for general free L'evy bases is established.
Full work available at URL: https://arxiv.org/abs/2007.05336
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