On the Matsumoto-Yor property in free probability

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:445

Article

Szpojankowski, Kamil^1,2 

[1] Univ Waterloo, Dept Pure Math, Waterloo, ON N2L 3G1, Canada

[2] Warsaw Univ Sci & Technol, Wydzial Matemat & Nauk Informacyjnych, Ul Koszykowa 75, PL-00662 Warsaw, Poland

关键词: Matsumoto-Yor property;    Conditional moments;    Freeness;    Free Generalized Inverse Gaussian distribution;    Free Poisson distribution;   

DOI  :  10.1016/j.jmaa.2016.08.002

来源: Elsevier

【 摘 要 】

We study the Matsumoto-Yor property in free probability. We prove that the limiting empirical eigenvalue distribution of the GIG matrices and the Marchenko-Pastur distribution have the free Matsumoto-Yor property Finally we characterize these distributions by regression properties in free probability. (C) 2016 Elsevier Inc. All rights reserved.

【 授权许可】

Free