Covariation representations for Hermitian Lévy process ensembles of free infinitely divisible distributions

DOI10.1214/ECP.V18-2113zbMATH Open1308.60056arXiv1207.3831OpenAlexW2055559274MaRDI QIDQ742966FDOQ742966

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

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: It is known that the so-called Bercovici-Pata bijection can be explained in terms of certain Hermitian random matrix ensembles $(M_d{)}_{dgeq1}$ whose asymptotic spectral distributions are free infinitely divisible. We investigate Hermitian L'{e}vy processes with jumps of rank one associated to these random matrix ensembles introduced in [6] and [10]. A sample path approximation by covariation processes for these matrix L'{e}vy processes is obtained. As a general result we prove that any $dimesd$ complex matrix subordinator with jumps of rank one is the quadratic variation of an $mathbb{C}^d$-valued L'{e}vy process. In particular, we have the corresponding result for matrix subordinators with jumps of rank one associated to the random matrix ensembles $(M_d{)}_{dgeq1}$

Full work available at URL: https://arxiv.org/abs/1207.3831

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zbMATH Keywords

matrix subordinatorBercovici-Pata bijectioninfinitely divisible random matrixmatrix semimartingaleHermitian Lévy process ensembles

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Random matrices (probabilistic aspects) (60B20) Random measures (60G57)

Cited In (4)

• On the Process of the Eigenvalues of a Hermitian Lévy process
• Matricial model for the free multiplicative convolution
• A matrix representation of the Bercovici-Pata bijection
• Stochastic Integral and Covariation Representations for Rectangular Lévy Process Ensembles

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