A CONNECTION BETWEEN FREE AND CLASSICAL INFINITE DIVISIBILITY

Abstract

In this paper we continue our studies, initiated in Refs. 2–4, of the connections between the classes of infinitely divisible probability measures in classical and in free probability. We show that the free cumulant transform of any freely infinitely divisible probability measure equals the classical cumulant transform of a certain classically infinitely divisible probability measure, and we give several characterizations of the latter measure, including an interpretation in terms of stochastic integration. We find, furthermore, an alternative definition of the Bercovici–Pata bijection, which passes directly from the classical to the free cumulant transform, without passing through the Lévy–Khintchine representations (classical and free, respectively).