Higher variations for free Lévy processes

DOI10.4064/SM181102-20-2zbMATH Open1459.46062arXiv1811.00456OpenAlexW2993737081MaRDI QIDQ5220144FDOQ5220144

Zhichao Wang, Michael Anshelevich

Publication date: 10 March 2020

Published in: Studia Mathematica (Search for Journal in Brave)

Abstract: For a general free L'evy process, we prove the existence of its higher variation processes as limits in distribution, and identify the limits in terms of the L'evy-It^o representation of the original process. For a general free compound Poisson process, this convergence holds in probability. This implies joint convergence in distribution to a $k$-tuple of higher variation processes, and so the existence of $k$-fold stochastic integrals as limits in probability. If the existence of moments of all orders is assumed, the result holds for free additive (not necessarily stationary) processes and more general approximants. In the appendix we note relevant properties of symmetric polynomials in non-commuting variables.

Full work available at URL: https://arxiv.org/abs/1811.00456

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zbMATH Keywords

free Poisson random measurefree Lévy processfree Lévy-Itô representationhigher variationssymmetric polynomials in non-commuting variables

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Free probability and free operator algebras (46L54)

Cited In (2)

• A Lévy theorem for free noises
• Free random Lévy variables and financial probabilities

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