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

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

Authors Florent Benaych-Georges

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

zbMATH Keywords

convolution operatorfree convolutionfree probabilityLevy-Khinchine type theoremMarchenko-Pastur distributionrandom 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 $lambdain[0,1]$, 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 $lambda$.

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Cited in

(16)

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

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