Completely random measures and Levy bases in free probability

被引:0
|
作者
Collet, Francesca [1 ]
Leisen, Fabrizio [2 ]
Thorbjornsen, Steen [3 ]
机构
[1] Univ Padua, Dept Math, Via Trieste 63, I-35121 Padua, Italy
[2] Univ Nottingham, Sch Math Sci, Univ Pk, Nottingham NG7 2RD, England
[3] Univ Aarhus, Dept Math, Ny Munkegade 118, DK-8000 Aarhus C, Denmark
来源
关键词
free completely random measure; free infinite divisibility; free Levy basis; Levy-Ito type decomposition;
D O I
10.1214/21-EJP620
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
This paper develops a theory for completely random measures in the framework of free probability. A general existence result for free completely random measures is established, and in analogy to the classical work of Kingman it is proved that such random measures can be decomposed into the sum of a purely atomic part and a (freely) infinitely divisible part. The latter part (termed a free Levy basis) is studied in detail in terms of the free Levy-Khintchine representation and a theory parallel to the classical work of Rajput and Rosinski is developed. Finally a Levy-Ito type decomposition for general free Levy bases is established.
引用
收藏
页数:41
相关论文
共 50 条
  • [1] LEVY RANDOM MEASURES
    KARR, AF
    ADVANCES IN APPLIED PROBABILITY, 1976, 8 (02) : 225 - 226
  • [2] LEVY RANDOM MEASURES
    KARR, AF
    NOTICES OF THE AMERICAN MATHEMATICAL SOCIETY, 1975, 22 (05): : A593 - A593
  • [3] LEVY RANDOM MEASURES
    KARR, AF
    ANNALS OF PROBABILITY, 1978, 6 (01): : 57 - 71
  • [4] COMPLETELY RANDOM MEASURES
    KINGMAN, JFC
    PACIFIC JOURNAL OF MATHEMATICS, 1967, 21 (01) : 59 - &
  • [5] Probability measures, Levy measures and analyticity in time
    Barndorff-Nielsen, Ole E.
    Hubalek, Friedrich
    BERNOULLI, 2008, 14 (03) : 764 - 790
  • [6] Completely random signed measures
    Hellmund, Gunnar
    STATISTICS & PROBABILITY LETTERS, 2009, 79 (07) : 894 - 898
  • [7] Levy laws in free probability
    Barndorff-Nielsen, OE
    Thorbjornsen, S
    PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA, 2002, 99 (26) : 16568 - 16575
  • [8] Levy processes in free probability
    Barndorff-Nielsen, OE
    Thorbjornsen, S
    PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA, 2002, 99 (26) : 16576 - 16580
  • [9] Free random Levy matrices
    Burda, Z
    Janik, RA
    Jurkiewicz, J
    Nowak, MA
    Papp, G
    Zahed, I
    PHYSICAL REVIEW E, 2002, 65 (02):
  • [10] Free random Levy and Wigner-Levy matrices
    Burda, Zdzislaw
    Jurkiewicz, Jerzy
    Nowak, Maciej A.
    Papp, Gabor
    Zahed, Ismail
    PHYSICAL REVIEW E, 2007, 75 (05):