Selfsimilar Free Additive Processes and Freely Selfdecomposable Distributions

Makoto Maejima () and Noriyoshi Sakuma ()
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Makoto Maejima: Keio University
Noriyoshi Sakuma: Nagoya City University

Journal of Theoretical Probability, 2023, vol. 36, issue 3, 1667-1697

Abstract: Abstract In the paper by Fan (Inf Dim Anal Quant Probab Rel Topics 9:451–469, 2006), he introduced the marginal selfsimilarity of non-commutative stochastic processes and proved that the marginal distributions of selfsimilar processes with freely independent increments are freely selfdecomposable. In this paper, we firstly introduce a new definition, stronger than Fan’s in general, of selfsimilarity via linear combinations of non-commutative stochastic processes, although the two definitions are equivalent for non-commutative stochastic processes with freely independent increments. We secondly prove the converse of Fan’s result, to complete the relationship between selfsimilar free additive processes and freely selfdecomposable distributions. Furthermore, we construct stochastic integrals with respect to free additive processes for representing the background driving free Lévy processes of freely selfdecomposable distributions. A relationship between freely selfdecomposable distributions and their background driving free Lévy processes in terms of their free cumulant transforms is also given, and several examples are discussed.

Keywords: Free infinitely divisible distributions; Freely selfdecomposable distributions; Free additive processes; Free Lévy processes; Selfsimilar processes; 46L54; 60G18; 60E07 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10959-022-01227-4

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