Abstract
We prove that the free additive convolution of two Borel probability measures supported on the real line can have a component that is singular continuous with respect to the Lebesgue measure on \({\mathbb{R}}\) only if one of the two measures is a point mass. The density of the absolutely continuous part with respect to the Lebesgue measure is shown to be analytic wherever positive and finite. The atoms of the free additive convolution of Borel probability measures on the real line have been described by Bercovici and Voiculescu in a previous paper.
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Belinschi, S.T. The Lebesgue decomposition of the free additive convolution of two probability distributions. Probab. Theory Relat. Fields 142, 125–150 (2008). https://doi.org/10.1007/s00440-007-0100-3
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DOI: https://doi.org/10.1007/s00440-007-0100-3
Mathematics Subject Classification (2000)
- Primary 46L54
- Secondary 30D40