Poisson Processes in Free Probability

Guimei An; Mingchu Gao

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arXiv · 1506.03130

Poisson Processes in Free Probability

Guimei An·Mingchu Gao

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Abstract

We prove a multidimensional Poisson limit theorem in free probability, and define joint free Poisson distributions in a non-commutative probability space. We define (compound) free Poisson process explicitly, similar to the definitions of (compound) Poisson processes in classical probability. We proved that the sum of finitely many freely independent compound free Poisson processes is a compound free Poisson processes. We give a step by step procedure for constructing a (compound) free Poisson process. A Karhunen-Loeve expansion theorem for centered free Poisson processes is proved. We generalize free Poisson processes to a notion of free Poisson random measures (which is slightly different from the previously defined ones in free probability, but more like an analogue of classical Poisson random measures). Then we develop the integration theory of real-valued functions with respect to a free Poisson random measure, generalizing the classical integration theory to the free probability case. We find that the integral of a function (in certain spaces of functions) with respect to a free Poisson random measure has a compound free Poisson distribution. For centered free Poisson random measures, we can get a simpler and more beautiful integration theory.

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BibTeX RIS

Guimei An, Mingchu Gao. 2015-06-09. Poisson Processes in Free Probability. https://arxiv.org/abs/1506.03130

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