Higher variations for free Lévy processes

DOI10.4064/SM181102-20-2MaRDI QIDQ5220144zbMATH OpenOpenAlexFDO

Authors Michael Anshelevich, Zhichao Wang

Publication date 10 March 2020

Published in Studia Mathematica (Search for Journal in Brave)

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

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)

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.

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(2)

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

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