Limit theorems for classical, freely and Boolean max-infinitely divisible distributions

DOI10.1007/S10959-020-01060-7MaRDI QIDQ2116470zbMATH OpenOpenAlexFDO

Authors Yuki Ueda

Publication date 17 March 2022

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.11996

zbMATH Keywords

Bercovici-Pata bijectionBoolean/free independencemax-infinite divisibility

Mathematics Subject Classification ID

Free probability and free operator algebras (46L54) Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We investigate a Belinschi-Nica type semigroup for free and Boolean max-convolutions. We prove that this semigroup at time one connects limit theorems for freely and Boolean max-infinitely divisible distributions. Moreover, we also construct a max-analogue of Boolean-classical Bercovici-Pata bijection, establishing the equivalence of limit theorems for Boolean and classical max-infinitely divisible distributions.

Review text

The present paper provides a systematic study of certain operations \((F,G) \mapsto H\) defined on probability distribution functions, motivated by the computation of the distribution \(H\) of the (spectral) \emph{maximum} of two free/Boolean independent noncommutative random variables of distributions \(F\) and~\(G\). These operations have natural connection to the classical study of extreme values. The author uses them to develop and investigate the concept of free/Boolean max-infinitely divisible distributions, max-stable laws and domains of attraction, following the articles [\textit{G.~Ben Arous} and \textit{D.~V. Voiculescu}, Ann. Probab. 34, No.~5, 2037--2059 (2006; Zbl 1117.46044); \textit{J.~Garza Vargas} and \textit{D.~V. Voiculescu}, Indiana Univ. Math. J. 70, No.~2, 595--603 (2021; Zbl 1478.46059)]. Then a version of the Bercovici-Pata bijection between max-infinitely divisible Boolean/classical distributions is presented, and certain aspects of the relevant central limit theorems are discussed.

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• Max-convolution semigroups and extreme values in limit theorems for the free multiplicative convolution
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Cites work

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Cited in

(6)

• Bi-free extreme values
• Limit theorems for monotonic convolution and the Chernoff product formula
• LIMIT THEOREMS IN Λ-BOOLEAN PROBABILITY
• Homomorphisms relative to additive convolutions and max-convolutions: free, Boolean and classical cases
• A note on convergence of densities to free extreme value distributions
• A matrix interpolation between classical and free max operations. I: The univariate case

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