Abstract
In this paper, we define and study two parameters dependent free processes (λ,θ) called free Jacobi, obtained as the limit of its matrix counterpart when the size of the matrix goes to infinity. The main result we derive is a free SDE analogous to that satisfied in the matrix setting, derived under injectivity assumptions. Once we did, we examine a particular case for which the spectral measure is explicit and does not depend on time (stationary). This allows us to determine easily the parameters range ensuring our injectivity requirements so that our result applies. Then, we show that under an additional condition of invertibility at time t=0, this range extends to the general setting. To proceed, we set a recurrence formula for the moments of the process via free stochastic calculus.
Original language | English (US) |
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Pages (from-to) | 118-143 |
Number of pages | 26 |
Journal | Journal of Theoretical Probability |
Volume | 21 |
Issue number | 1 |
DOIs | |
State | Published - Mar 2008 |
Keywords
- Free additive Brownian motion
- Free Jacobi process
- Free multiplicative Brownian motion
- Polar decomposition
- Unitary Brownian matrix
ASJC Scopus subject areas
- Statistics and Probability
- General Mathematics
- Statistics, Probability and Uncertainty