Infinitely divisible distributions for rectangular free convolution: classification and matricial interpretation

DOI10.1007/S00440-006-0042-1MaRDI QIDQ2641902zbMATH OpenOpenAlexFDO

Publication date 17 August 2007

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0512080

convolution operator free convolution free probability Levy-Khinchine type theorem Marchenko-Pastur distribution random matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Free probability and free operator algebras (46L54) Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05)

Abstract: In a previous paper (called "Rectangular random matrices. Related covolution"), we defined, for

l a m b d a i n [0, 1]

, the rectangular free convolution with ratio

l a m b d a

. Here, we investigate the related notion of infinite divisiblity, which happens to be closely related to the classical infinite divisibility: there exists a bijection between the set of classical symmetric infinitely divisible distributions and the set of distributions infinitely divisible with respect to this convolution, which preserves limit theorems. We give an interpretation of this correspondance in term of random matrices: we construct distributions on sets of complex rectangular matrices which give rise to random matrices with singular laws (i.e. uniform distributions on their singular values) going from the symmetric classical infinitely divisible distributions to their images by the previously mentioned bijection when the dimensions go from one to infinity in a ratio

l a m b d a

.

Review text

This paper is a continuation of a previous paper by the author where he introduced the convolution operator \(\boxplus_{\lambda}\) as a tool to study principal values of sum of large independent rectangular random matrices whose row/column ratio is close to \(\lambda\). Here, the author studies the notion of infinite divisibility for the convolution \(\boxplus_{\lambda}\), and establishes a Levy-Khinchine type theorem. He also defines a Bercovici-Pata type map and proves that it is a bijection turning classical convolution into the \(\boxplus_{\lambda}\)-convolution and preserving limit theorems, thus extending results of \textit{H. Bercovici} and \textit{V. Pata} [Ann. Math. (2) 149, No. 3, 1023--1060 (1999; Zbl 0945.46046)]. Last, a matrix model for the Bercovici-Pata type bijection is given.

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