On free stable distributions

被引:13
|
作者
Hasebe, Takahiro [1 ]
Kuznetsov, Alexey [2 ]
机构
[1] Hokkaido Univ, Dept Math, Sapporo, Hokkaido 060, Japan
[2] York Univ, Dept Math & Stat, N York, ON M3J 1P3, Canada
基金
加拿大自然科学与工程研究理事会;
关键词
free stable distribution; stable distribution; Mellin transform; LAWS;
D O I
10.1214/ECP.v19-3443
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We investigate analytical properties of free stable distributions and discover many connections with their classical counterparts. Our main result is an explicit formula for the Mellin transform, which leads to explicit series representations for the characteristic function and for the density of a free stable distribution. All of these formulas bear close resemblance to the corresponding expressions for classical stable distributions. As further applications of our results, we give an alternative proof of the duality law due to Biane and a new factorization of a classical stable random variable into an independent (in the classical sense) product of a free stable random variable and a power of a Gamma(2) random variable.
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页码:1 / 12
页数:12
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