Random matrix models of stochastic integral type for free infinitely divisible distributions

DOI10.1007/S10998-012-5628-ZzbMATH Open1299.15039arXiv1005.3761OpenAlexW2046786776MaRDI QIDQ452832FDOQ452832

Authors: J. Armando Domínguez-Molina, Alfonso Rocha-Arteaga 

Publication date: 17 September 2012

Published in: Periodica Mathematica Hungarica (Search for Journal in Brave)

Abstract: The Bercovici-Pata bijection maps the set of classical infinitely divisible distributions to the set of free infinitely divisible distributions. The purpose of this work is to study random matrix models for free infinitely divisible distributions under this bijection. First, we find a specific form of the polar decomposition for the L'{e}vy measures of the random matrix models considered in Benaych-Georges who introduced the models through their measures. Second, random matrix models for free infinitely divisible distributions are built consisting of infinitely divisible matrix stochastic integrals whenever their corresponding classical infinitely divisible distributions admit stochastic integral representations. These random matrix models are realizations of random matrices given by stochastic integrals with respect to matrix-valued L'{e}vy processes. Examples of these random matrix models for several classes of free infinitely divisible distributions are given. In particular, it is shown that any free selfdecomposable infinitely divisible distribution has a random matrix model of Ornstein-Uhlenbeck type $in{t}_0^{infty}{e}^{-t}dPs{i}_t^d$, $dgeq1$, where $Ps{i}_t^d$ is a $dimesd$ matrix-valued L'{e}vy process satisfying an $I_{log}$ condition.

Full work available at URL: https://arxiv.org/abs/1005.3761

Recommendations

• A matrix representation of the Bercovici-Pata bijection
• Stochastic integral and covariation representations for rectangular Lévy process ensembles
• Classical and free infinitely divisible distributions and random matrices
• Free generalized gamma convolutions
• Infinitely divisible distributions for rectangular free convolution: classification and matricial interpretation

zbMATH Keywords

polar decompositionrandom matricesstochastic integralsinfinitely divisible distribution[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+measures&go=Go L��vy measures]

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Stochastic integrals (60H05) Free probability and free operator algebras (46L54)

Cites Work

• Spectral representations of infinitely divisible processes
• A subclass of type \(G\) selfdecomposable distributions on \(\mathbb R^d\)
• On series representations of infinitely divisible random vectors
• Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples
• Relations between the \(\epsilon\)-selfdecomposable and selfdecomposable measures
• Stable laws and domains of attraction in free probability theory
• Classical and free infinitely divisible distributions and random matrices
• A matrix representation of the Bercovici-Pata bijection
• Multivariate supOU processes
• The limits of nested subclasses of several classes of infinitely divisible distributions are identical with the closure of the class of stable distributions
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• Characterizations of subclasses of type \(G\) distributions on \(\mathbb R^d\) by stochastic integral representa\-tions
• Additive processes and stochastic integrals
• A class of multivariate infinitely divisible distributions related to arcsine density
• Free generalized gamma convolutions
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (11)

• Some bi-matrix models for bi-free limit distributions
• Completely random measures and Lévy bases in free probability
• On the Process of the Eigenvalues of a Hermitian Lévy process
• Random Matrix Model for Free Meixner Laws
• Matricial model for the free multiplicative convolution
• Free generalized gamma convolutions
• Free diffusions and matrix models with strictly convex interaction
• A matrix representation of the Bercovici-Pata bijection
• Stochastic Integral and Covariation Representations for Rectangular Lévy Process Ensembles
• Classical and free infinitely divisible distributions and random matrices
• Infinitely divisible distributions for rectangular free convolution: classification and matricial interpretation

This page was built for publication: Random matrix models of stochastic integral type for free infinitely divisible distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q452832)