Classical and free infinitely divisible distributions and random matrices

被引:20
作者
Benaych-Georges, F [1 ]
机构
[1] Ecole Normale Super, Dept Math & Applicat, F-75230 Paris, France
关键词
random matrices; free probability; asymptotic freeness; free convolution; Marchenko-Pastur distribution; infinitely divisible distributions;
D O I
10.1214/009117904000000982
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
We construct a random matrix model for the bijection Psi between classical and free infinitely divisible distributions: for every d >= 1, we associate in a quite natural way to each *-infinitely divisible distribution P a distribution P-d(mu) on the space of d x d Hermitian matrices such that P-d(mu) * P-d(v) = P-d(mu*v). The spectral distribution of a random matrix with distribution P-d(mu) converges in d probability to Psi(mu) when d tends to +infinity. 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 mu, a distribution L-d(mu) on the space of complex (non-Hermitian) d x d random matrices. If mu, is symmetric, the symmetrization of the spectral distribution of vertical bar M-d vertical bar, when M-d is L-d(mu)-distributed, converges in probability to Psi (mu).
引用
收藏
页码:1134 / 1170
页数:37
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