Two-state free Brownian motions

In a two-state free probability space $(A, \phi, \psi)$, we define an algebraic two-state free Brownian motion to be a process with two-state freely independent increments whose two-state free cumulant generating function is quadratic. Note that a priori, the distribution of the process with respect to the second state $\psi$ is arbitrary. We show, however, that if $A$ is a von Neumann algebra, the states $\phi, \psi$ are normal, and $\phi$ is faithful, then there is only a one-parameter family of such processes. Moreover, with the exception of the actual free Brownian motion (corresponding to $\phi = \psi$), these processes only exist for finite time.Comment: 21 page

Free stochastic measures via noncrossing partitions II

We show that for stochastic measures with freely independent increments, the partition-dependent stochastic measures of math.OA/9903084 can be expressed purely in terms of the higher stochastic measures and the higher diagonal measures of the original.Comment: 15 pages, AMS-LaTeX2e. A serious revision following the suggestions by the refere

Orthogonal polynomials with a resolvent-type generating function

The subject of this paper are polynomials in multiple non-commuting variables. For polynomials of this type orthogonal with respect to a state, we prove a Favard-type recursion relation. On the other hand, free Sheffer polynomials are a polynomial family in non-commuting variables with a resolvent-type generating function. Among such families, we describe the ones that are orthogonal. Their recursion relations have a more special form; the best way to describe them is in terms of the free cumulant generating function of the state of orthogonality, which turns out to satisfy a type of second-order difference equation. If the difference equation is in fact first order, and the state is tracial, we show that the state is necessarily a rotation of a free product state. We also describe interesting examples of non-tracial infinitely divisible states with orthogonal free Sheffer polynomials.Comment: 19 pages; minor improvement

Linearization coefficients for orthogonal polynomials using stochastic processes

Given a basis for a polynomial ring, the coefficients in the expansion of a product of some of its elements in terms of this basis are called linearization coefficients. These coefficients have combinatorial significance for many classical families of orthogonal polynomials. Starting with a stochastic process and using the stochastic measures machinery introduced by Rota and Wallstrom, we calculate and give an interpretation of linearization coefficients for a number of polynomial families. The processes involved may have independent, freely independent or q-independent increments. The use of noncommutative stochastic processes extends the range of applications significantly, allowing us to treat Hermite, Charlier, Chebyshev, free Charlier and Rogers and continuous big q-Hermite polynomials. We also show that the q-Poisson process is a Markov process.Comment: Published at http://dx.doi.org/10.1214/009117904000000757 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Monic non-commutative orthogonal polynomials

Among all states on the algebra of non-commutative polynomials, we characterize the ones that have monic orthogonal polynomials. The characterizations involve recursion relations, Hankel-type determinants, and a representation as a joint distribution of operators on a Fock space.Comment: 10 page

Appell polynomials and their relatives

This paper summarizes some known results about Appell polynomials and investigates their various analogs. The primary of these are the free Appell polynomials. In the multivariate case, they can be considered as natural analogs of the Appell polynomials among polynomials in non-commuting variables. They also fit well into the framework of free probability. For the free Appell polynomials, a number of combinatorial and "diagram" formulas are proven, such as the formulas for their linearization coefficients. An explicit formula for their generating function is obtained. These polynomials are also martingales for free Levy processes. For more general free Sheffer families, a necessary condition for pseudo-orthogonality is given. Another family investigated are the Kailath-Segall polynomials. These are multivariate polynomials, which share with the Appell polynomials nice combinatorial properties, but are always orthogonal. Their origins lie in the Fock space representations, or in the theory of multiple stochastic integrals. Diagram formulas are proven for these polynomials as well, even in the q-deformed case.Comment: 45 pages, 2 postscript figure