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

DOI10.1007/S00440-006-0042-1zbMATH Open1129.15019arXivmath/0512080OpenAlexW2094607534MaRDI QIDQ2641902FDOQ2641902

Authors: Florent Benaych-Georges 

Publication date: 17 August 2007

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

Abstract: In a previous paper (called "Rectangular random matrices. Related covolution"), we defined, for $lambdain[0,1]$, the rectangular free convolution with ratio $lambda$. 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 $lambda$.

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

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zbMATH Keywords

random matricesconvolution operatorfree probabilityfree convolutionMarchenko-Pastur distributionLevy-Khinchine type theorem

Mathematics Subject Classification ID

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

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Cited In (15)

• Rectangular random matrices, related convolution
• On free and classical type \(G\) distributions
• The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
• Rectangular \(R\)-transform as the limit of rectangular spherical integrals
• On the asymptotic distribution of block-modified random matrices
• Random matrix models of stochastic integral type for free infinitely divisible distributions
• Free generalized gamma convolutions
• A matrix representation of the Bercovici-Pata bijection
• Stochastic Integral and Covariation Representations for Rectangular Lévy Process Ensembles
• Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions
• On a surprising relation between the Marchenko-Pastur law, rectangular and square free convolutions
• Regularization by free additive convolution, square and rectangular cases
• Classical and free infinitely divisible distributions and random matrices
• Infinite divisibility and a non-commutative Boolean-to-free Bercovici-Pata bijection
• The singular values and vectors of low rank perturbations of large rectangular random matrices

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