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Classical infinite divisibility, self-decomposability and bell-shape of free stable laws

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Abstract

We determine the classical infinite divisibility, self-decomposability and extended Thorin regions of the strictly free stable family. Above index one, infinite divisibility and self-decomposability hold on two extremal skewness intervals, with distinct maximal indices αID=1.5240739610…\alpha_{\mathrm{ID}}=1.5240739610\ldots and αSD=1.4283571142…\alpha_{\mathrm{SD}}=1.4283571142\ldots. Below one, every law is self-decomposable, whereas the Thorin region is a central interval; the optimal uniform bound is 4/54/5. We characterize the boundaries by global contact conditions and derive their different asymptotic scales at index one. A common phase representation also gives an exact bell-shape test, strictly bell-shaped examples outside the Thorin class, and an unbounded number of skewness components near one. The exceptional free one-stable family admits an explicit integer criterion. The proofs combine analytic estimates with finite interval certificates. The bell-shape results do not constitute a full parameter classification.

Introduction and main results

Free stability does not imply stability under classical convolution. This distinction leads to a natural question: which free stable laws are classically infinitely divisible, self-decomposable, or generalized gamma convolutions? We answer these three questions and study the related bell-shape problem.

Bercovici and Pata established the role of free stable laws in free limit theory, with their density geometry and duality developed in Biane’s appendix [2]. Explicit Mellin and characteristic transforms were obtained by Hasebe and Kuznetsov [5 Theorems 1–3]. Hasebe, Simon and Wang proved classical infinite divisibility for indices at most one, excluded symmetric laws above one, and proved the extended Thorin property for indices at most 3/43/4 [6 Theorems 1 and 2]. They conjectured the optimal Thorin bound 4/54/5 and discussed the possible exclusion of all indices above one from classical infinite divisibility. We prove the former and disprove the latter. In fact, Proposition D.1 gives an analytic ID region above one before any finite certificate is used.

Normalization and terminology

Write Gμ(z)=∫R(z−x)−1 μ(dx)G_\mu(z)=\int_{\mathbb{R}}(z-x)^{-1}\,\mu(\mathrm{d}x) and Fμ=1/GμF_\mu=1/G_\mu. The Voiculescu transform is ϕμ(z)=Fμ−1(z)−z\phi_\mu(z)=F_\mu^{-1}(z)-z, initially on a suitable domain near infinity in the upper half-plane. We use the normalization in [7 Introduction]: Xα,ρX_{\alpha,\rho} has transform

ϕα,ρ(z)=−eiπαρz1−α,Im⁡z>0,(1)\phi_{\alpha,\rho}(z)=-e^{i\pi\alpha\rho}z^{1-\alpha}, \qquad\operatorname{Im}z>0, \tag*{(1)}

with admissible parameters

A={0<α≤1, 0≤ρ≤1}∪{1<α≤2, 1−1/α≤ρ≤1/α}.(2)\mathcal{A}=\{0<\alpha\leq1,\ 0\leq\rho\leq1\}\cup\{1<\alpha\leq2,\ 1-1/\alpha\leq\rho\leq1/\alpha\}. \tag*{(2)}

Reflection replaces ρ\rho by 1−ρ1-\rho. All these laws are freely infinitely divisible. Throughout the paper, however, ID and SD refer to classical additive convolution, denoted by ∗*.

Definition 1.1 (Classical convolution classes). A probability law μ\mu is infinitely divisible (ID) if, for every n≥1n\geq1, it can be written as μ=μn∗n\mu=\mu_n^{*n} for a probability law μn\mu_n. It is self-decomposable (SD) if for every c∈(0,1)c\in(0,1) there is a probability law μc\mu_c such that μ=Dcμ∗μc\mu=D_c\mu*\mu_c,

where DcμD_c\mu is the law of cXcX when XX has law μ\mu; see [12 Sections 7 and 15]. An ID law belongs to the extended Thorin class, abbreviated GGC, when its Lévy measure has the form

ν(dx)=k+(x)x1{x>0}dx+k−(−x)∣x∣1{x<0}dx(3)\nu(\mathrm{d}x)=\frac{k_{+}(x)}{x}\mathbf{1}_{\{x>0\}}\mathrm{d}x+\frac{k_{-}(-x)}{|x|}\mathbf{1}_{\{x<0\}}\mathrm{d}x \tag*{(3)}

with completely monotone kernels k+,k−k_{+},k_{-} on (0,∞)(0,\infty). Here complete monotonicity means (−1)nf(n)(x)≥0(-1)^n f^{(n)}(x)\ge0 for every n≥0n\ge0 and x>0x>0. We allow translations and Gaussian factors, as in [4 Chapter 7, (7.1.5)].

For an ID law with the representation (3), the SD criterion is that both kernels are nonnegative and nonincreasing [12 Theorem 15.10]. Thus GGC implies SD, and SD implies ID. The GGC notation here includes two-sided laws; point masses satisfy all three properties.

The three classification theorems

The ID and SD regions above one consist of intervals adjoining the two extremal skewnesses. Their inner boundaries are different, as are their maximal indices. Below one, the GGC region is instead central. The following theorems give exact implicit classifications; § 3 defines their boundaries through explicit analytic transforms.

Theorem 1.2 (Classical infinite divisibility). There is a unique maximal ID index αID\alpha_{\mathrm{ID}}, with

1.52407396102878875153<αID<1.52407396102878875155.(4)1.52407396102878875153 < \alpha_{\mathrm{ID}} < 1.52407396102878875155. \tag*{(4)}

Every admissible Xα,ρX_{\alpha,\rho} with α≤1\alpha\le1 is ID. For 1<α≤αID1<\alpha\le\alpha_{\mathrm{ID}}, ID holds exactly when

ρ∈[1−1/α,1−r(α)]∪[r(α),1/α].(5)\rho\in[1-1/\alpha,1-r(\alpha)]\cup[r(\alpha),1/\alpha]. \tag*{(5)}

Here rr is continuous, 1/2<r(α)<1/α1/2<r(\alpha)<1/\alpha below the cutoff, r(αID)=1/αIDr(\alpha_{\mathrm{ID}})=1/\alpha_{\mathrm{ID}}, and r(α)→1/2r(\alpha)\to1/2 as α↓1\alpha\downarrow1. There are no ID laws for α>αID\alpha>\alpha_{\mathrm{ID}}. The curve rr has the global first-contact description (19); it is computable to arbitrary positive rational accuracy at every computable α∈(1,αID)\alpha\in(1,\alpha_{\mathrm{ID}}).

Theorem 1.3 (Extended generalized gamma convolutions). Every admissible skewness is GGC for 0<α≤4/50<\alpha\le4/5 and for α=1\alpha=1. No admissible law with α>1\alpha>1 is GGC. For 4/5<α<14/5<\alpha<1, the exact GGC section is

[g(α),1−g(α)].(6)[g(\alpha),1-g(\alpha)]. \tag*{(6)}

The function gg is continuous on (0,1](0,1], on setting g=0g=0 for α≤4/5\alpha\le4/5 and at α=1\alpha=1, and is locally Lipschitz on (4/5,1)(4/5,1). On that interval 0<g(α)<1/20<g(\alpha)<1/2. Its global first-angular-contact description is (21), and g(α)g(\alpha) is computable to arbitrary positive rational accuracy for every computable such α\alpha. Thus 4/54/5 is the optimal bound for GGC at all skewnesses.

Theorem 1.4 (Classical self-decomposability). Every admissible law with 0<α≤10<\alpha\le1 is SD. There is a unique maximal SD index αSD\alpha_{\mathrm{SD}}, satisfying

1.4283571142<αSD<1.4283571143,(7)1.4283571142 < \alpha_{\mathrm{SD}} < 1.4283571143, \tag*{(7)}

such that the SD section for 1<α≤αSD1<\alpha\le\alpha_{\mathrm{SD}} is exactly

[1−1/α,1−s(α)]∪[s(α),1/α].(8)[1-1/\alpha,1-s(\alpha)]\cup[s(\alpha),1/\alpha]. \tag*{(8)}

The function ss is continuous, computable at computable indices below the cutoff, and satisfies

r(α)<s(α)<1/α(1<α<αSD),s(αSD)=1/αSD.r(\alpha)<s(\alpha)<1/\alpha\qquad(1<\alpha<\alpha_{\mathrm{SD}}), \qquad s(\alpha_{\mathrm{SD}})=1/\alpha_{\mathrm{SD}}.

It is the global first-contact curve of the derivative transform −zFα′(z)-zF'_{\alpha}(z) defined in § 3. No law with α>αSD\alpha>\alpha_{\mathrm{SD}} is SD. Near index one,

s(1+ε)=12+334πε+o(ε).(9)s(1+\varepsilon)=\frac{1}{2}+\sqrt{\frac{3\sqrt{3}}{4\pi}}\sqrt{\varepsilon}+o(\sqrt{\varepsilon}). \tag*{(9)}

Bell-shape

Definition 1.5 (Bell-shape and whale-shape). A smooth probability density on R\mathbb{R} is strictly bell-shaped (BS) if it tends to zero at both infinities and its nnth derivative has exactly nn changes of sign for every n≥0n \ge0. A probability law is weakly bell-shaped if convolution with every nondegenerate Gaussian has a strictly bell-shaped density. These are the conventions of [11 Introduction]; they do not require all derivative zeros to be simple. A density on a half-line is whale-shaped if it is smooth in the interior, vanishes at both ends, and each derivative of positive order has exactly one zero in the interior, as in [7 Introduction, definition preceding Theorem 4].

Smooth weakly bell-shaped densities are strictly bell-shaped [11 Theorems 1.1 and 1.3]. Their transform characterization replaces the derivative conditions by restrictions on crossings of integer phase levels. It permits bell-shape even when the phase itself is not monotone, and hence beyond the Thorin region.

Theorem 1.6 (Selected bell-shape results). The following statements hold.

(1) No admissible law with α>1\alpha> 1 is even weakly bell-shaped. At α=1\alpha= 1, every interior-skewness density is a drifted Cauchy density and is strictly bell-shaped.

(2) For 0<α<10 < \alpha< 1 and 0<ρ<10 < \rho< 1, strict bell-shape is equivalent to the two integer-level conditions in (39). The GGC region satisfies these conditions, but there are nonempty open sets of strictly bell-shaped laws outside the GGC region.

(3) For every fixed 0<α<10 < \alpha< 1, the strictly bell-shaped skewness set is a finite union of intervals, closed relative to (0,1)(0,1), and possibly isolated points. It contains a central interval and intervals next to both endpoints. The endpoint laws themselves are whale-shaped and weakly bell-shaped, but are not strictly bell-shaped. The number of components tends to infinity as α↑1\alpha\uparrow1.

(4) Let CC be standard Cauchy and let TT be the exceptional free one-stable law with Voiculescu transform −log⁡z-\log z. For A>0A > 0, B≠0B \ne0, the law of AC+BTAC + BT is strictly bell-shaped if and only if

Aπ∣B∣∈N.(10)\frac{A}{\pi|B|} \in\mathbb{N}. \tag*{(10)}

For A=0A = 0, it is weakly bell-shaped and whale-shaped. All these exceptional laws are SD, and they are GGC exactly when B=0B = 0.

The full bell-shape parameter set is not determined by these statements.

The sums in the exceptional family can be realized with independent classical summands: convolution by a Cauchy law agrees with free convolution by that Cauchy law. The case B=0B = 0, A>0A > 0 is simply Cauchy; A=B=0A = B = 0 is a point mass. It must be kept separate from the strictly stable family X1,ρX_{1,\rho}.

Method of proof and organization

Two analytic representations govern the classifications. Above one, a signed Lévy representation reduces ID to positivity of one kernel and SD to positivity of its negative logarithmic derivative. Below one, Cauchy subordination expresses the Lévy densities through a single analytic phase. GGC asks that this phase be nondecreasing; bell-shape only restricts its integer-level crossings. § 2 gives the common criteria, and § 3–§ 5 apply them to the free stable family.

In each boundary problem, estimates at zero and infinity reduce the remaining sign questions to compact domains. Finite interval certificates then provide the required signs on whole parameter boxes. This distinction is essential: a local double-root equation does not identify a global boundary. Theorem F.7 exhibits competing global ID contacts. Our boundary algorithms give any prescribed positive error; they do not decide equality to an arbitrary computable real input.

§ 6 compares the boundary scales and records the computational dependencies. Appendices § 7–H contain the longer estimates and the specifications needed to reproduce the finite checks. All theorem statements include their boundary cases. The remaining bell-shape questions are stated at the end of § 6.

We use N={1,2,…}\mathbb{N}=\{1,2,\ldots\} and use aa interchangeably with α\alpha in proofs. Complex powers take their principal values unless a continued boundary branch is specified. A computable real is one for which rational approximations with any prescribed rational error can be produced by an algorithm. All terminating decimals in certificate inputs denote exact rational numbers.

Analytic criteria

The proofs use two reductions: harmonic interpolation for signed Lévy kernels, and a phase representation for Cauchy subordination. We state them separately to make clear which properties are used above and below index one.

A sector principle for signed Lévy kernels

Lemma 2.1 (Sector interpolation). Let FF be holomorphic in a neighborhood of a sector θ0≤arg⁡z≤θ1\theta_0 \le\arg z \le\theta_1, z≠0z \ne0, whose opening is ww. Suppose that, for some p<π/wp < \pi/w, uniformly on that sector,

∣F(z)∣≤C(∣z∣p+∣z∣−p)|F(z)| \le C\left(|z|^p+|z|^{-p}\right)

If Re⁡F≥0\operatorname{Re} F \ge0 on its two boundary rays, then Re⁡F≥0\operatorname{Re} F \ge0 throughout the sector. Unless Re⁡F\operatorname{Re} F is identically zero, it is strictly positive in the interior. The same assertion holds with FF replaced by −zF′(z)-zF'(z) when the growth assumption holds on a slightly larger sector.

Proof. Choose p<q<π/wp<q<\pi/w and write θm=(θ0+θ1)/2\theta_m=(\theta_0+\theta_1)/2. The harmonic function

(rq+r−q)cos⁡(q(θ−θm))\left(r^q+r^{-q}\right)\cos\left(q(\theta-\theta_m)\right)

is positive on the closed sector. Add ϵ\epsilon times this function to Re⁡F\operatorname{Re} F. It dominates a possible negative value on both circular edges of a sufficiently large truncated annular sector. The minimum principle, followed by the radial limits and then ϵ↓0\epsilon\downarrow0, proves nonnegativity. The strong minimum principle gives strictness. Cauchy’s derivative bound on disks of radius proportional to ∣z∣|z| gives the stated growth for zF′(z)zF'(z) on the smaller sector. □

Suppose a family has a signed Lévy representation, with nonnegative Gaussian coefficient and ∫R(1∧x2)∣ν∣(dx)<∞\int_{\mathbb{R}}(1\wedge x^2)|\nu|(\mathrm{d}x)<\infty, whose only possibly negative kernel is Kθ(x)=Re⁡F(xeiθ)K_\theta(x)=\operatorname{Re}F(xe^{i\theta}), while the other kernel is completely monotone. Uniqueness of the signed Lévy representation makes ID equivalent to Kθ≥0K_\theta\ge0. If Kθ(x)→0K_\theta(x)\to0 at infinity, then SD is equivalent to

−xKθ′(x)=Re⁡[−zF′(z)]≥0,z=xeiθ.-xK_\theta'(x)=\operatorname{Re}[-zF'(z)]\ge0,\qquad z=xe^{i\theta}.

References

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