Classical and free infinitely divisible distributions and random matrices
Benaych-Georges, Florent
Ann. Probab., Tome 33 (2005) no. 1, p. 1134-1170 / Harvested from Project Euclid
We construct a random matrix model for the bijection Ψ between clas- sical and free infinitely divisible distributions: for every d≥1, we associate in a quite natural way to each *-infinitely divisible distribution μ a distribution ℙdμ on the space of d×d Hermitian matrices such that ℙdμ*ℙdν=ℙdμ*ν. The spectral distribution of a random matrix with distribution ℙdμ converges in probability to Ψ(μ) when d tends to +∞. It gives, among other things, a new proof of the almost sure convergence of the spectral distribution of a matrix of the GUE and a projection model for the Marchenko–Pastur distribution. In an analogous way, for every d≥1, we associate to each *-infinitely divisible distribution μ, a distribution $\mathbb{L}_{d}^{\mu}$ on the space of complex (non-Hermitian) d×d random matrices. If μ is symmetric, the symmetrization of the spectral distribution of |Md|, when Md is $\mathbb{L}_{d}^{\mu}$ -distributed, converges in probability to Ψ(μ).
Publié le : 2005-05-14
Classification:  Random matrices,  free probability,  asymptotic freeness,  free convolution,  Marchenko–Pastur distribution,  infinitely divisible distributions,  15A52,  46L54,  60E07,  60F05
@article{1115386721,
     author = {Benaych-Georges, Florent},
     title = {Classical and free infinitely divisible distributions and random matrices},
     journal = {Ann. Probab.},
     volume = {33},
     number = {1},
     year = {2005},
     pages = { 1134-1170},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1115386721}
}
Benaych-Georges, Florent. Classical and free infinitely divisible distributions and random matrices. Ann. Probab., Tome 33 (2005) no. 1, pp.  1134-1170. http://gdmltest.u-ga.fr/item/1115386721/