A variational approach to free probability
Speaker:
Octavio Arizmendi Echegaray, CIMAT
Date and Time:
Tuesday, November 14, 2023 - 11:30am to 12:30pm
Location:
Fields Institute, Room 230
Abstract:
Let μ and ν be compactly supported probability measures on the real line with densities with respect to Lebesgue measure. We show that for all large real z, if μ⊞ν is their additive free convolution, we have ∫∞−∞log(z−x)μ⊞ν(dx)=supΠ{EΠ[log(z−(X+Y)]−E[Π]+E[μ]+E[ν]},
where the supremum is taken over all probability laws
Π on
R2 for a pair of real-valued random variables
(X,Y) with respective marginal laws
μ and
ν, and given a probability law
P with density function
f on
Rk,
E[P]:=∫Rkflogf is its classical entropy. We prove similar formulas for the multiplicative free convolution
μ⊠ν and the free compression
[μ]τ of probability laws. We use our formulation to derive several new inequalities relating free and classical convolutions of random variables, such as
∫∞−∞log(z−x)μ⊞ν(dx)≥E[log(z−(X+Y)],
valid for all large
z, where on the right-hand side
X,Y are independent classical random variables with respective laws
μ,ν. Our approach is based on applying a large deviation principle on the symmetric group to the celebrated quadrature formulas of Marcus, Spielman and Srivastava. This talk is based in joint work with Samuel G. G. Johnston.
Bio: Octavio Arizmendi is a Mexican mathematician. He finished his PhD in 2012 at the University of Saarbrucken under the supervision of Roland Speicher. He then went to CIMAT as a postdoc in 2013, where he since later became a professor. Octavio works in Free Probability and more generally Non-Commutative Probability, where he has made contribution in various aspects of the theory, specially in the combinatorial side.