Large time unimodality for classical and free Brownian motions with initial distributions

MaRDI QIDQ4638248zbMATH OpenFDO

Authors Takahiro Hasebe, Yuki Ueda

Publication date 4 May 2018

Full work available at URL https://arxiv.org/abs/1710.08240, http://alea.impa.br/articles/v15/15-15.pdf

zbMATH Keywords

Brownian motionCauchy processpositive stable processstrongly unimodalunimodal

Mathematics Subject Classification ID

Free probability and free operator algebras (46L54) Infinitely divisible distributions; stable distributions (60E07) Stable stochastic processes (60G52) Brownian motion (60J65)

Abstract: We prove that classical and free Brownian motions with initial distributions are unimodal for sufficiently large time, under some assumption on the initial distributions. The assumption is almost optimal in some sense. Similar results are shown for a symmetric stable process with index 1 and a positive stable process with index $1/2$. We also prove that free Brownian motion with initial symmetric unimodal distribution is unimodal, and discuss strong unimodality for free convolution.

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Cites work

• Addition of freely independent random variables
• scientific article; zbMATH DE number 527331 (Why is no real title available?)
• scientific article; zbMATH DE number 6283558 (Why is no real title available?)
• Lectures on the Combinatorics of Free Probability
• On the free convolution with a semi-circular distribution
• On the free Gamma distributions
• On the unimodality of infinitely divisible distribution functions
• Supports of measures in a free additive convolution semigroup
• Unimodality for free Lévy processes
• Unimodality of infinitely divisible distribution functions of class L
• Unimodality of the freely selfdecomposable probability laws

Cited in

(3)

• The Brown measure of the sum of a self-adjoint element and an elliptic element
• Unimodality for free Lévy processes
• Log-unimodality for free positive multiplicative Brownian motion

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