Rectangular random matrices, related free entropy and free Fisher's information
Abstract
Description
We prove that independent rectangular random matrices, when embedded in a space of larger square matrices, are asymptotically free with amalgamation over a commutative finite dimensional subalgebra $D$ (under an hypothesis of unitary invariance). Then we consider elements of a finite von Neumann algebra containing $D$, which have kernel and range projection in $D$. We associate them a free entropy with the microstates approach, and a free Fisher's information with the conjugate variables approach. Both give rise to optimization problems whose solutions involve freeness with amalgamation over $D$. It could be a first proposition for the study of operators between different Hilbert spaces with the tools of free probability. As an application, we prove a result of freeness with amalgamation between the two parts of the polar decomposition of $R$-diagonal elements with non trivial kernel.
41 pages
41 pages