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arXiv · 2004.10152

Cumulant-cumulant relations in free probability theory from Magnus' expansion

A. Celestino·K. Ebrahimi-Fard·F. Patras·D. Perales Anaya
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Abstract

Relations between moments and cumulants play a central role in both classical and non-commutative probability theory. The latter allows for several distinct families of cumulants corresponding to different types of independences: free, Boolean and monotone. Relations among those cumulants have been studied recently. In this work we focus on the problem of expressing with a closed formula multivariate monotone cumulants in terms of free and Boolean cumulants. In the process we introduce various constructions and statistics on non-crossing partitions. Our approach is based on a pre-Lie algebra structure on cumulant functionals. Relations among cumulants are described in terms of the pre-Lie Magnus expansion combined with results on the continuous Baker-Campbell-Hausdorff formula due to A. Murua.

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A. Celestino, K. Ebrahimi-Fard, F. Patras, D. Perales Anaya. 2020-04-21. Cumulant-cumulant relations in free probability theory from Magnus' expansion. https://doi.org/10.1007/s10208-021-09512-0

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