A Matrix Interpolation between Classical and Free Max Operations. I. The Univariate Case

Florent Benaych-Georges () and Thierry Cabanal-Duvillard ()
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Florent Benaych-Georges: UPMC Univ. Paris 6
Thierry Cabanal-Duvillard: UMR CNRS 8145–Université Paris Descartes

Journal of Theoretical Probability, 2010, vol. 23, issue 2, 447-465

Abstract: Abstract Recently, Ben Arous and Voiculescu considered taking the maximum of two free random variables and brought to light a deep analogy with the operation of taking the maximum of two independent random variables. We present here a new insight on this analogy: its concrete realization based on random matrices giving an interpolation between classical and free settings.

Keywords: Random matrices; Free probability; Max-stable laws; 15A52; 46L54 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10959-009-0210-1

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