text:
# Continuous Family of Invariant Subspaces for 𝑅–diagonal Operators

## 1. Introduction

### 1.1. Upper triangular matrices

#### 1.1.1. Finite matrices

It is a not very difficult exercise to show that every matrix $`x_n()`$ is unitarily equivalent to an upper triangular matrix $`y=y(x)`$ of the form

(1)
$$y=\left[\begin{array}{ccccc}\lambda _1& a_{1,2}& \mathrm{}& a_{1,n1}& a_{1,n}\\ 0& \lambda _2& \mathrm{}& a_{2,n1}& a_{2,n}\\ \mathrm{}& & \mathrm{}& \mathrm{}& \mathrm{}\\ & & & \lambda _{n1}& a_{n1,n}\\ 0& & \mathrm{}& 0& \lambda _n\end{array}\right],$$

where $`\lambda _1,\mathrm{},\lambda _n`$ are the eigenvalues of $`x`$ and $`a_{i,j}`$ ($`i<j`$). By $`(e_1,\mathrm{},e_n)`$ we denote the orthonormal base of $`^n`$ in which the matrix $`x`$ takes the form (1).

This upper triangular representation is usually not unique due to the possibility of changing the order of eigenvalues. Now we shall choose the order of eigenvalues so that $`|\lambda _1|<|\lambda _2|<\mathrm{}<|\lambda _n|`$ (for simplicity we shall not consider the case when some absolute values of eigenvalues are equal); let corresponding eigenvectors be $`v_1,\mathrm{},v_n`$. For $`s0`$ let us consider the set

(2)
$$V_s=\{v^n:\underset{k\mathrm{}}{lim}\sqrt[k]{x^kv}s\}.$$

One can show that $`V_s`$ is a linear space and that the orthonormal base $`(e_1,\mathrm{},e_n)`$, the base of eigenvectors $`(v_1,\mathrm{},v_n)`$, and the spaces $`V_s`$ are closely related by the following property: if $`|\lambda _i|s<|\lambda _{i+1}|`$ then $`V_s=\mathrm{span}\{e_1,\mathrm{},e_i\}=\mathrm{span}\{v_1,\mathrm{},v_i\}`$.

#### 1.1.2. Upper triangular form property

Much information can be obtained directly from the upper triangular form (1) of a matrix $`x`$, for example its spectrum and relations between the matrix and its adjoint. Therefore it is natural to ask if it is possible to find some kind of the upper triangular form for operators acting on general Hilbert spaces. For every $`s0`$ and $`xB()`$ we can define an analogue of the linear space (2):

(3)
$$V_s=\overline{\{v:\underset{k\mathrm{}}{lim\; sup}\sqrt[k]{x^kv}s\}}.$$

These sets $`V_s`$ are always closed linear spaces. They were introduced and investigated by Dykema and Haagerup \[DH\], who proved that $`V_s`$ is always an invariant subspace of the operator $`x`$. Let $`p_s`$ denote the orthogonal projection from $``$ onto $`V_s`$. They also showed that if $`x`$ is an element of a von Neumann algebra $`𝒩B()`$ then $`p_s𝒩`$ and that $`p_s`$ regarded as an abstract element of $`𝒩`$ does not depend on the representation of the algebra $`𝒩`$.

If $`0s_1<s_2<\mathrm{}<s_{n1}`$ then $`V_{s_1}V_{s_2}\mathrm{}V_{s_{n1}}`$ are invariant subspaces of the operator $`x`$, therefore $`x`$ can be written as

(4)
$$x=\left[\begin{array}{ccccc}e_1xe_1& e_1xe_2& \mathrm{}& e_1xe_{n1}& e_1xe_n\\ 0& e_2xe_2& \mathrm{}& e_2xe_{n1}& e_2xe_n\\ \mathrm{}& & \mathrm{}& \mathrm{}& \mathrm{}\\ & & & e_{n1}xe_{n1}& e_{n1}xe_n\\ 0& & \mathrm{}& 0& e_nxe_n\end{array}\right],$$

where $`e_1=p_{s_1}`$, $`e_2=p_{s_2}p_{s_1}`$, $`e_3=p_{s_3}p_{s_2}`$, …, $`e_n=Ip_{s_{n1}}`$ are orthogonal projections with the property that $`e_1+\mathrm{}+e_n=I`$. In the finite dimensional case the diagonal elements $`\lambda _1,\mathrm{},\lambda _n`$ of the matrix (1) are ordered in such a way that their absolute values increase, therefore we would expect that in the general case the following analogue holds:

(5)
$$\sigma _i\{z:s_{i1}|z|s_i\}\text{for every }1in,$$

where $`\sigma _i`$ denotes the spectrum of $`e_ixe_i`$ regarded as an operator acting on the space $`e_i`$ and $`s_0=0`$, $`s_n=\mathrm{}`$.

If an operator $`x`$ has the property that for every $`0<s_1<s_2<\mathrm{}<s_{n1}`$ inclusions (5) hold, we say that $`x`$ has the upper triangular form property .

It is not difficult to find examples of operators which do not have this property.

### 1.2. Applications

Operators with the upper triangular form property have a very nice structure and therefore many questions, for example the invariant subspace problem and the computation of the Brown measure, are for these operators particularly easy.

#### 1.2.1. Invariant subspace problem

The invariant subspace problem relative to a von Neumann algebra $`𝒩B()`$ asks if every operator $`x𝒩`$ has a proper, nontrivial invariant subspace $`_0`$ such that the orthogonal projection $`p`$ onto $`_0`$ is an element of $`𝒩`$. Originally this problem was formulated for the case $`𝒩=B()`$ and in both formulations it remains open.

It was pointed out by Dykema and Haagerup \[DH\] that if an operator $`x`$ has the upper triangular form property and if we can choose $`s`$ such that $`inf_{\lambda \sigma (x)}|\lambda |<s<sup_{\lambda \sigma (x)}|\lambda |`$ (where $`\sigma (x)`$ denotes the spectrum of $`x`$) then the space $`V_s`$ is the wanted nontrivial invariant subspace.

#### 1.2.2. Brown measure

Suppose that $`x`$ is an element of a finite von Neumann algebra $`𝒩`$ with a normal faithful tracial state $`\varphi `$. The Fuglede–Kadison determinant (cf \[FK\]) defined by

$$\mathrm{\Delta }(x)=\mathrm{exp}\left[\varphi \left(\mathrm{ln}(xx^{})^{\frac{1}{2}}\right)\right]$$

is a generalization of a determinant of a finite matrix.

The Brown measure $`\mu _x`$ of the element $`x`$ is a Schvarz distribution on the complex plane defined by (cf \[Brw, HL\])

$$\mu _x=\frac{1}{2\pi }\left(\frac{^2}{a^2}+\frac{^2}{b^2}\right)\mathrm{ln}\mathrm{\Delta }[x(a+ib)I].$$

One can show that in fact $`\mu _x`$ is a probability measure supported on a subset of the spectrum of $`x`$. It can be regarded as a generalization of the normalized counting measure $`\frac{1}{n}(\delta _{\lambda _1}+\delta _{\lambda _2}+\mathrm{}+\delta _{\lambda _n})`$ that is assigned to a finite matrix with eigenvalues $`\lambda _1,\lambda _2,\mathrm{},\lambda _n`$.

#### 1.2.3. Brown measure for upper triangular matrices

For a matrix $`y_n()`$ in the form (1) we have $`dety=\lambda _1\lambda _2\mathrm{}\lambda _n`$; similarly the Fuglede–Kadison determinant of $`x𝒩`$ in the form (4) is a weighted product of determinants of diagonal submatrices:

$$\mathrm{\Delta }(x)=[\mathrm{\Delta }_{e_1}(e_1xe_1)]^{\varphi (e_1)}[\mathrm{\Delta }_{e_2}(e_2xe_2)]^{\varphi (e_2)}\mathrm{}[\mathrm{\Delta }_{e_n}(e_nxe_n)]^{\varphi (e_n)},$$

where $`\mathrm{\Delta }_{e_k}(e_kxe_k)`$ denotes the Fuglede–Kadison determinant of $`e_kxe_k`$ regarded as an element of the algebra $`e_k𝒩e_k`$ with state $`\frac{1}{\varphi (e_k)}\varphi `$ (cf Proposition 1.8 in \[Brw\]).

Therefore we have that the Brown measure of $`x`$ is a weighted sum of Brown measures of diagonal elements:

(6)
$$\mu _x=\varphi (e_1)\mu _{e_1;e_1xe_1}+\varphi (e_2)\mu _{e_2;e_2xe_2}+\mathrm{}+\varphi (e_n)\mu _{e_n;e_nxe_n},$$

where $`\mu _{e_k;e_kxe_k}`$ denotes the Brown measure of $`e_kxe_k`$ regarded as an element of the algebra $`e_k𝒩e_k`$ with state $`\frac{1}{\varphi (e_k)}\varphi `$ (cf Theorem 4.3 in \[Brw\]). If furthermore condition (5) for the spectra of diagonal elements holds, we have that the supports of the measures $`\mu _{e_k;e_kxe_k}`$ ($`1kn`$) have disjoint interiors and

(7)
$$\text{supp}(\mu _{e_k;e_kxe_k})\{z:s_{k1}|z|s_k\}.$$

The above properties (6) and (7) provide complete information on the radial part of the measure $`\mu _x`$; if we know that $`\mu _x`$ is rotation invariant, they uniquely determine $`\mu _x`$ to be the product measure $`\nu _x\times \chi `$ on $`[0,\mathrm{})\times 𝕋=`$ (these sets are identified by the polar coordinates $`(r,\psi )re^{i\psi }`$), where $`\chi `$ is the uniform measure on $`𝕋`$ and $`\nu _x`$ is the probability measure on $`[0,\mathrm{})`$ with the distribution function

$$F_x(s)=\nu _x[0,s]=\varphi (p_s)\text{for every }s0.$$

### 1.3. Results and methods

The above considerations show how important it is to characterize the class of operators with the upper triangular form property. Dykema and Haagerup (cf \[DH\]) showed that the circular element and more generally every free circular Poisson element has the upper triangular form property. Their proof was based on explicit random matrix models for these operators. In this article we show a significantly simpler proof of a more general result that every $`R`$–diagonal operator has the upper triangular form property.

$`R`$–diagonal operators were introduced by Nica and Speicher \[NS3\] in the setup of the free probability theory of Voiculescu \[VDN\]; we say that $`x𝒩`$ is $`R`$–diagonal with respect to $`\varphi `$ (where $`𝒩`$ is a finite von Neumann algebra with a trace $`\varphi `$) if the distribution of $`x`$ is invariant under multiplication with free unitaries. Therefore a typical $`R`$–diagonal element generates the $`\text{II}_1`$ factor $`L(𝔽_2)`$ associated to the nonabelian free group $`𝔽_2`$ with two generators.

Our considerations use the operator–valued version of free probability. The key idea is to relate properties of noncommutative random variables regarded as elements of a scalar probability space with corresponding properties of these random variables regarded as elements of an operator–valued probability space.

In Section 2 we recall shortly some basic concepts of the scalar and operator–valued free probability theory.

In Section 3 we define a new concept of the $`R`$–diagonality with amalgamation, which is a generalization of the $`R`$–diagonality. In Theorem and Definition 8, which is a generalization of the result of Nica, Shlyakhtenko and Speicher \[NSS1\], we show a few equivalent conditions on the $`R`$–diagonality in the operator–valued case. In Theorem 9 we present a new characterization of the scalar $`R`$–diagonality in terms of freeness.

Section 4 is devoted to the problem how to relate properties of noncommutative random variables regarded as elements of a scalar probability space with corresponding properties of these random variables regarded as elements of an operator–valued probability space. We recall some old results in this field and show Theorem 14, one of the main results of this article, that if $`x`$ is $`R`$–diagonal with amalgamation over certain algebra $`𝒟`$ and if $`\{x,x^{}\}`$ and the algebra $`𝒟`$ are free then $`x`$ is scalar $`R`$–diagonal as well. As an immediate application we discuss the upper triangular representation of circular free Poisson elements which was found by Dykema and Haagerup \[DH\]. We show also a useful Lemma 21 that every positive operator has a square root which takes the upper triangular form with respect to a given family of orthogonal projections.

In Section 5 we prove the central result of this article that every $`R`$–diagonal operator has the upper triangular form property and we find a new way to obtain a result of Haagerup and Larsen \[HL, Lar\]: the explicit formula for the Brown measure of $`R`$–diagonal elements.

In Section 6 we relate the upper triangular forms for $`x`$, $`y`$ and $`xy`$, where $`x`$ and $`y`$ are free $`R`$–diagonal operators and we present a new interesting proof of the well known fact that Voiculescu’s $`S`$–transform is multiplicative.

Finally, in Section 7 we show a possible direction of the future research: the problem how to relate the properties of $`R`$–diagonal elements and their random matrix models.

## 2. Preliminaries

### 2.1. Scalar and operator–valued probability spaces

#### 2.1.1. Basic definitions

In the following we shall consider only unital algebras over $``$. We shall also consider only unital inclusions of unital algebras $`𝒜_1𝒜_2`$, i.e. the identity $`I`$ of the algebra $`𝒜_1`$ is also the identity of the algebra $`𝒜_2`$. Identities of all algebras will be denoted by $`I`$.

A scalar probability space (also called a noncommutative probability space) is a pair $`(𝒜,\varphi )`$ consisting of a unital $``$–algebra $`𝒜`$ and a normal, tracial, faithful state $`\varphi :𝒜`$.

A pair $`(𝒟𝒜,E)`$ is an operator–valued probability space (or a $`𝒟`$–valued probability space) if $`𝒜`$ is a unital $``$-algebra, $`𝒟𝒜`$ is a unital $``$–subalgebra, and $`E:𝒜𝒟`$ is a conditional expectation (i.e. $`E`$ is linear, satisfies $`E(I)=I`$ and $`E(d_1xd_2)=d_1E(x)d_2`$ for every $`d_1,d_2𝒟`$ and $`x𝒜`$).

The concept of the operator–valued probability space is a generalization of the scalar probability space in which the elements of the algebra $`𝒟`$ play the role of scalars. In particular, every scalar probability space $`(𝒜,\varphi )`$ can be regarded as a $``$–valued probability space $`(𝒜,\varphi )`$, but not every $``$–valued probability space is a scalar probability space.

An element $`a𝒜`$ will be referred to as a noncommutative random variable; $`\varphi (a)`$ and $`E(a)`$ will be called the expectation of $`a`$.

#### 2.1.2. Notation

For simplicity we will use the following notation: by $`x(𝒟𝒜,E)`$ we shall mean that $`x𝒜`$ and that the noncommutative random variable $`x`$ is regarded as an element of a probability space $`(𝒟𝒜,E)`$; similarly for $`x(𝒜,\varphi )`$.

Also, by the inverse (or spectrum, etc.) of $`x𝒜`$ we shall mean the inverse (resp. spectrum, etc.) of $`x`$ regarded as an element of a unital algebra $`𝒜`$.

The spectrum of the operator $`x`$ will be denoted by $`\sigma (x)`$.

#### 2.1.3. Enlargement of a $`𝒟`$–valued probability space

The $`𝒟`$–valued probability space $`(𝒟\stackrel{~}{𝒜},\stackrel{~}{E})`$ is an enlargement of the $`𝒟`$–valued probability space $`(𝒟𝒜,E)`$ if $`𝒜\stackrel{~}{𝒜}`$ and the restriction of the expectation value $`\stackrel{~}{E}:\stackrel{~}{𝒜}𝒟`$ to the algebra $`𝒜`$ coincides with the expectation $`E:𝒜𝒟`$.

#### 2.1.4. Operator–valued distribution

We say that elements $`x_1(𝒟𝒜_1,E_1)`$ and $`x_2(𝒟𝒜_2,E_2)`$ are identically distributed if for every $`n1`$, all $`s_1,\mathrm{},s_n\{1,\}`$, and all $`d_1,\mathrm{},d_{n1}𝒟`$ we have

$$E_1(x_1^{s_1}d_1x_1^{s_2}d_2\mathrm{}d_{n1}x_1^{s_n})=E_2(x_2^{s_1}d_1x_2^{s_2}d_2\mathrm{}d_{n1}x_2^{s_n}).$$

### 2.2. Basics of the free probability theory

#### 2.2.1. Freeness and freeness with amalgamation

In this section we recall briefly basics of the operator–valued free probability theory \[Voi1, Voi7, Spe4, VDN\].

Let $`(𝒜_s)_{sS}`$ be a family of subalgebras of $`𝒜`$ such that $`𝒟𝒜_s`$ for every $`sS`$. We say that the algebras $`(𝒜_s)_{sS}`$ are free with amalgamation over $`𝒟`$ (or simply free over $`𝒟`$) if:

(8)
$$E(x_1x_2\mathrm{}x_n)=0$$

holds for every $`n1`$, every $`s_1,s_2,\mathrm{},s_nS`$ such that $`s_1s_2`$, $`s_2s_3`$,…, $`s_{n1}s_n`$, and every $`x_1𝒜_{s_1},\mathrm{},x_n𝒜_{s_n}`$ such that $`E(x_1)=\mathrm{}=E(x_n)=0`$ (cf \[VDN, Voi7\]).

Let $`(X_s)_{sS}`$ be a family of subsets of $`𝒜`$. We say that the sets $`(X_s)_{sS}`$ are free with amalgamation over $`𝒟`$ if the algebras $`𝒜_s:=\text{Alg}(X_s𝒟),sS`$, are so.

Let $`(𝒜,\varphi )`$ be a scalar probability space. If a family $`(X_s)_{sS}`$ of subsets of $`𝒜`$ is free with amalgamation over $``$, we simply say that it is free.

#### 2.2.2. Noncrossing partitions. Complementary partition

If $`X`$ is a finite, ordered set, we denote by $`\mathrm{NC}(X)`$ the set of all noncrossing partitions of $`X`$ (cf \[Spe4, Kre\]). A noncrossing partition $`\pi =\{Y_1,\mathrm{},Y_n\}`$ of $`X`$ is a decomposition of $`X`$ into disjoint sets:

$$X=Y_1\mathrm{}Y_n,Y_iY_j=\mathrm{}\text{ if }ij,$$

which has the additional property that if $`a<b<c<dX`$ are such that $`a,cY_i`$ and $`b,dY_j`$ then $`i=j`$.

In the set $`\mathrm{NC}(X)`$ we introduce a partial order: for $`\pi ,\sigma \mathrm{NC}(X)`$ we say that $`\pi \sigma `$ iff for every $`A\pi `$ there exists $`B\sigma `$ such that $`AB`$.

If $`\sigma ,\tau \mathrm{NC}(X)`$ then by $`\sigma \tau `$ we denote the (unique) minimal element in the set $`\{\pi \mathrm{NC}(X):\sigma \pi \text{ and }\tau \pi \}`$.

By $`\mathrm{𝟏}_X\mathrm{NC}(X)`$ we denote the partition $`\mathrm{𝟏}_X=\left\{\{1,2,\mathrm{},n\}\right\}`$. This is the maximal element in the set $`\mathrm{NC}(X)`$.

Suppose that $`X=X_1X_2`$, where $`X_1X_2=\mathrm{}`$. If $`\pi \mathrm{NC}(X_1)`$, we define its complementary partition $`\pi ^c\mathrm{NC}(X_2)`$ to be the biggest noncrossing partition of $`X_2`$ such that $`\pi \pi ^c\mathrm{NC}(X)`$.

#### 2.2.3. Operator–valued noncrossing cumulants

Let $`(𝒟𝒜,E)`$ be an operator–valued probability space. The algebra $`𝒜`$ has a structure of a $`𝒟`$–bimodule, we can define therefore

$`𝒜^{_𝒟0}`$ $`=𝒟,`$
$`𝒜^{_𝒟n}`$ $`=\underset{n\mathrm{times}}{\underset{}{𝒜_𝒟𝒜_𝒟\mathrm{}_𝒟𝒜}}\text{ for }n1`$
and a $`𝒟`$–bimodule

$$\mathrm{\Gamma }=\underset{n0}{}𝒜^{_𝒟n}=𝒟𝒜(𝒜_𝒟𝒜)\mathrm{},$$

called the free Fock space. We will denote $`\mathrm{\Omega }=I00\mathrm{}\mathrm{\Gamma }`$. For every vector $`v=db_{1,1}(b_{2,1}b_{2,2})\mathrm{}\mathrm{\Gamma }`$ we define $`\mathrm{\Omega },v=d𝒟`$ (it is possible to furnish the whole Fock space with a structure of a Hilbert module but in this article we will use only scalar products of the above form).

Let a $`𝒟`$–bimodule map $`\kappa :_{n1}𝒜^{_𝒟n}𝒟`$ be given. The map $`\rho `$ defined below assigns to each element of $`𝒜`$ an operator acting on the Fock space $`\mathrm{\Gamma }`$:

$`\rho (a)[d]`$ $`=ad+\kappa (a)d\text{for }d𝒜^{_𝒟0}=𝒟,`$
$$\begin{array}{c}\rho (a)[b_1\mathrm{}b_n]=ab_1\mathrm{}b_n\hfill \\ \hfill +\underset{0in}{}[\kappa (ab_1\mathrm{}b_i)b_{i+1}]b_{i+2}\mathrm{}b_n\end{array}$$

for $`b_1\mathrm{}b_n𝒜^{_𝒟n}`$. Of course $`\rho :𝒜L(\mathrm{\Gamma })`$ is a $`𝒟`$–bimodule map.

We define a conditional expectation on the algebra $`L(\mathrm{\Gamma })`$ of linear operators on $`\mathrm{\Gamma }`$ by

$$\stackrel{~}{E}(x)=\mathrm{\Omega },x\mathrm{\Omega }.$$

In the literature this function is often called the vacuum expectation.

One can show \[Spe4\] that we can always choose the function $`\kappa `$ so that

(9)
$$E(a_1a_2\mathrm{}a_n)=\stackrel{~}{E}[\rho (a_1)\rho (a_2)\mathrm{}\rho (a_n)]$$

for every $`n1`$ and $`a_1,\mathrm{},a_n𝒜`$; such unique $`\kappa `$ is called the operator–valued noncrossing cumulant function. Sometimes in order to avoid ambiguities we shall denote it by $`\kappa ^𝒟`$.

#### 2.2.4. Noncrossing scalar cumulants and moments

Let $`(𝒜,\varphi )`$ be a scalar probability space. Let $`\kappa :_{n1}𝒜^_{}n`$ be the $``$–valued noncrossing cumulant function as defined above. It will also be called scalar noncrossing cumulant and sometimes we will denote it by $`\kappa ^{}`$.

For any $`a_1,\mathrm{}a_n𝒜`$ and a noncrossing partition

$$\pi =\{\{i_{1,1},i_{1,2},\mathrm{},i_{1,m_1}\},\{i_{2,1},i_{2,2},\mathrm{},i_{2,m_2}\},\mathrm{},\{i_{k,1},i_{k,2},\mathrm{},i_{k,m_k}\}\}$$

of the set $`\{1,2,\mathrm{},n\}`$ (where $`i_{j,1}<i_{j,2}<\mathrm{}<i_{j,m_j}`$ for every value of $`j`$) we define

(10)
$$\kappa _\pi (a_1\mathrm{}a_n)=\underset{1lk}{}\kappa (a_{i_{l,1}}a_{i_{l,2}}\mathrm{}a_{i_{l,m_l}}).$$

Cumulants $`\kappa `$ will also be called simple cumulants; we will call $`\kappa _\pi `$ compound cumulants.

It turns out that the implicit relation (9) between cumulants and moments in the scalar case $`𝒟=`$ takes the form

(11)
$$\varphi (a_1a_2\mathrm{}a_n)=\underset{\pi \mathrm{NC}(\{1,\mathrm{},n\})}{}\kappa _\pi (a_1\mathrm{}a_n)$$

for every $`a_1,a_2,\mathrm{},a_n𝒜`$. In fact we can take this formula as an alternative, inductive definition of $`\kappa `$.

Similarly to (10) we define simple and compound moments by

$$m(a_1\mathrm{}a_n)=\varphi (a_1a_2\mathrm{}a_n),$$

$$m_\pi (a_1\mathrm{}a_n)=\underset{1lk}{}m(a_{i_{l,1}}a_{i_{l,2}}\mathrm{}a_{i_{l,m_l}}).$$

###### Lemma 1.

Scalar cumulants have the following cyclic property

$$\kappa ^{}(a_1\mathrm{}a_n)=\kappa ^{}(a_na_1\mathrm{}a_{n1}).$$

The proof follows easily by induction from the tracial property of $`\varphi `$.

#### 2.2.5. Noncrossing operator–valued cumulants and moments

Let us consider an operator–valued probability space $`(𝒟𝒜,E)`$. The implicit relation (9) can be used to express moments by operator–valued cumulants. For example we have:

(12) $`E(a_1)`$ $`=\kappa (a_1),`$
(13) $`E(a_1a_2)`$ $`=\kappa (a_1a_2)+\kappa (a_1)\kappa (a_2),`$
(14)
$$\begin{array}{c}E(a_1a_2a_3)=\kappa (a_1a_2a_3)+\kappa (a_1a_2)\kappa (a_3)\hfill \\ \hfill +\kappa \left(a_1\kappa (a_2)a_3\right)+\kappa (a_1)\kappa (a_2a_3)+\kappa (a_1)\kappa (a_2)\kappa (a_3).\end{array}$$

Summands on the right hand side correspond to all possible ways of writing brackets in the expression $`a_1a_2\mathrm{}a_n`$. In the general case the following analogue of (11) holds

(15)
$$E(a_1\mathrm{}a_n)=\underset{\pi \mathrm{NC}(\{1,\mathrm{},n\})}{}\kappa _\pi (a_1\mathrm{}a_n),$$

where the sum is taken over all noncrossing partitions $`\pi `$ of the set $`\{1,\mathrm{},n\}`$. Unfortunately, since the algebra $`𝒟`$ does not commute with $`𝒜`$, the product $`\kappa (a_{i_{1,1}}\mathrm{}a_{i_{1,m_1}})\mathrm{}\kappa (a_{i_{k,1}}\mathrm{}a_{i_{k,m_k}})`$ in the definition of compound cumulants (10) has to be replaced by a nested product given by the partition $`\pi `$. For example we have (compare with (14)):

$`\kappa _{\{\{1,2,3\}\}}(a_1a_2a_3)`$ $`=\kappa (a_1a_2a_3),`$
$`\kappa _{\{\{1,2\},\{3\}\}}(a_1a_2a_3)`$ $`=\kappa (a_1a_2)\kappa (a_3),`$
$`\kappa _{\{\{1,3\},\{2\}\}}(a_1a_2a_3)`$ $`=\kappa \left(a_1\kappa (a_2)a_3\right),`$
$`\kappa _{\{\{1\},\{2\},\{3\}\}}(a_1a_2a_3)`$ $`=\kappa (a_1)\kappa (a_2)\kappa (a_3).`$
For a formal definition of compound operator–valued cumulants $`\kappa _\pi (a_1\mathrm{}a_n)`$ we refer to \[Spe4\].

We can consider (15) as an alternative, inductive definition of $`\kappa `$.

Compound moments $`E_\pi `$ are defined by the same recursive formula as compound cumulants; for example

$`E_{\{\{1,2,3\}\}}(a_1a_2a_3)`$ $`=E(a_1a_2a_3),`$
$`E_{\{\{1,2\},\{3\}\}}(a_1a_2a_3)`$ $`=E(a_1a_2)E(a_3),`$
$`E_{\{\{1,3\},\{2\}\}}(a_1a_2a_3)`$ $`=E\left(a_1E(a_2)a_3\right),`$
$`E_{\{\{1\},\{2\},\{3\}\}}(a_1a_2a_3)`$ $`=E(a_1)E(a_2)E(a_3).`$
#### 2.2.6. Freeness and cumulants

The following theorem has been proved by Speicher \[Spe4\].

###### Theorem 2.

Let $`(𝒟𝒜,E)`$ be an operator–valued probability space. A family $`(X_s)_{sS}`$ of subsets of $`𝒜`$ is free with amalgamation over $`𝒟`$ iff for every $`n2`$, $`s_1,\mathrm{},s_nS`$ which are not all equal, every $`x_1X_{s_1},\mathrm{},x_nX_{s_n}`$, and every $`d_1,\mathrm{},d_n𝒟`$ we have

$$\kappa (x_1d_1x_2d_2\mathrm{}x_nd_n)=0.$$

Let us also recall the following characterization of the product of free random variables, cf. \[NS2\].

###### Lemma 3.

If $`\{a_1,a_2,\mathrm{},a_n,a_{n+1}\}(𝒜,\varphi )`$ and $`\{b_1,b_2,\mathrm{},b_n\}(𝒜,\varphi )`$ are free then

(16)
$$\begin{array}{c}\varphi ([a_1]b_1a_2b_2\mathrm{}a_nb_n[a_{n+1}])\hfill \\ \hfill =\underset{\pi }{}m_{\pi ^c}([a_1]a_2\mathrm{}a_n[a_{n+1}])\kappa _\pi (b_1b_2\mathrm{}b_n),\end{array}$$

(the factors in brackets might be absent) where the sum is taken over all noncrossing partitions $`\pi `$ of the $`n`$–element set of factors $`\{b_1,b_2,\mathrm{},b_n\}`$ and where $`\pi ^c`$ denotes the complementary partition of the set $`\{[a_1,]a_2,a_3,\mathrm{},a_n[,a_{n+1}]\}`$.

Conversely, if at least one of two sets $`X,Y𝒜`$ is a unital subalgebra of $`𝒜`$ and (16) holds for all $`a_1,\mathrm{},a_{n+1}X`$ and $`b_1,\mathrm{},b_nY`$ then $`X`$ and $`Y`$ are free.

One can write a $`𝒟`$–valued version the above lemma where freeness is replaced by freeness with amalgamation and scalar cumulants are replaced by operator–valued cumulants; the only thing we need to change is to replace on the right–hand side the usual product by the nested product given by the noncrossing partition $`\pi ^c\pi `$ of the set of factors $`\{[a_1,]b_1,a_2,b_2,\mathrm{},a_n,b_n[,a_{n+1}]\}`$. For example we have

$$E[a_1b_1a_2b_2]=E(a_1)\kappa ^𝒟\left(b_1E(a_2)b_2\right)+E\left(a_1\kappa ^𝒟(b_1)a_2\right)\kappa ^𝒟(b_2).$$

In general we have

(17)
$$\begin{array}{c}E([a_1]b_1a_2b_2\mathrm{}a_nb_n[a_{n+1}])=\hfill \\ \hfill \underset{\pi }{}(E\kappa ^𝒟)_{\pi ^c\pi }([a_1]b_1a_2\mathrm{}a_nb_n[a_{n+1}]).\end{array}$$

We refer to \[Spe4\] for the concrete definition of $`(E\kappa ^𝒟)_{\pi ^c\pi }`$.

#### 2.2.7. Theorem of Krawczyk and Speicher

We will use often the following theorem of Krawczyk and Speicher \[KS\] which allows us to compute cumulants of products of random variables.

###### Theorem 4.

Let $`m`$ and $`1i_1<i_2<\mathrm{}<i_m:=n`$ be given. Consider random variables $`a_1,\mathrm{},a_n`$ and put $`A_j:=a_{i_{j1}+1}\mathrm{}a_{i_j}`$ for $`j=1,\mathrm{},m`$ (where $`i_0:=0`$). Then the following equation holds:

(18)
$$\kappa [(a_1\mathrm{}a_{i_1})\mathrm{}(a_{i_{m1}+1}\mathrm{}a_{i_m})]=\underset{\genfrac{}{}{0pt}{}{\pi \mathrm{NC}(\{1,\mathrm{},n\})}{\pi \sigma =\mathrm{𝟏}_n}}{}\kappa _\pi [a_1\mathrm{}a_n],$$

where $`\sigma \mathrm{NC}(\{1,\mathrm{},n\})`$ is the partition $`\sigma =\{\{1,\mathrm{},i_1\},\mathrm{},\{i_{m1}+1,\mathrm{},i_m\}\}`$.

This theorem was originally proved in the scalar case, but the proof in \[KS\] extends without difficulties to the operator–valued setup.

#### 2.2.8. Scalar random variables. Scalar Haar unitaries.

We say that $`y(𝒟𝒜,E)`$ is a scalar random variable if $`yy^{}=y^{}y`$, $`y`$ and $`y^{}`$ commute with elements of $`𝒟`$ and if for every $`k,l\{0,1,2,\mathrm{}\}`$ we have $`E(y^k(y^{})^l)=\alpha _{k,l}I`$ for some $`\alpha _{k,l}`$.

We say that $`u(𝒟𝒜,E)`$ is a scalar Haar unitary if $`u`$ is a scalar random variable which is a unitary such that $`E(u^n)=E[(u^{})^n]=0`$ for every $`n`$, $`n1`$.

### 2.3. Voiculescu’s $`R`$– and $`S`$–transforms

In this section we recall basic properties of Voiculescu’s $`R`$– and $`S`$–transforms (cf \[Voi2, Voi3, NS1, Nic, Haa, HP\]).

In the following $`()^1`$ will denote the inverse function with respect to composition.

For an element $`a`$ of a scalar probability space $`(𝒜,\varphi )`$ we define its Cauchy transform $`G_a`$ by

$$G_a(t)=\varphi \left(\frac{1}{ta}\right)\text{for }t\sigma (a).$$

The function

$$R_a(z)=G^1(z)\frac{1}{z}$$

makes sense in a neighborhood of $`0`$, is an analytic function and is called the $`R`$–transform of $`a`$.

We define furthermore

$$\psi _a(t)=\varphi \left(\frac{1}{1ta}\right)1\text{for }\frac{1}{t}\sigma (a).$$

If $`\varphi (a)0`$ then

$$S_a(z)=\frac{z+1}{z}\psi ^1(z)$$

makes sense in a neighborhood of $`0`$, is an analytic function and is called the $`S`$–transform of $`a`$.

$`R`$–diagonal elements will be defined in the next Section , despite this we will state the following lemma here.

###### Lemma 5.

Let $`x`$ and $`y`$ ($`x,y0`$) be $`R`$–diagonal elements. The spectral radius $`y`$ is given by

$$\underset{\lambda \sigma (y)}{sup}|\lambda |=y_{L^2}=S_{(yy^{})^1}(1).$$

The spectral radius of $`x^1`$ is given by $`S_{xx^{}}(1)`$, or equivalently,

$$\underset{\lambda \sigma (x)}{inf}|\lambda |=\frac{1}{S_{xx^{}}(1)}.$$

###### Proof.

The identity $`sup_{\lambda \sigma (y)}|\lambda |=y_{L^2}`$ was proved by Haagerup and Larsen \[HL, Lar\].

We will prove now that $`S_a(1)=\varphi (a^1)`$ holds for every nonnegative operator $`a`$. Our method is based on proofs of the formula

(19)
$$zS_a(z)=[zR_a(z)]^1.$$

from articles \[NS3, HL\].

If $`a`$ is a nonnegative operator, then the function $`\psi _a:(\mathrm{},0]`$ is a well–defined increasing function with the range $`(\varphi (p_0)1,0]`$, where $`p_0`$ denotes the projection on the kernel of $`a`$. It means that the $`S`$–transform of $`a`$ is a well defined analytical function on $`(\varphi (p_0)1,0)`$.

If $`\varphi (p_0)>0`$ then $`S_a(1)`$ is not well defined and we define $`S_a(1)=\mathrm{}`$, therefore $`S_a(1)=\varphi (a^1)`$ holds by definition.

Let us consider now the case $`\varphi (p_0)=0`$; we take

$$S_a(1):=\underset{ϵ0^+}{lim}S_a(1+ϵ)$$

if this limit exists and $`S_a(1)=\mathrm{}`$ otherwise.

For every $`u`$ such that $`u^1\sigma (a)`$ we have that

$$\psi _a(u)=\frac{G_a(u^1)}{u}1,$$

so for every $`u<0`$ we have

$$\psi _a(u)S_a[\psi _a(u)]=[1+\psi _a(u)]\psi _a^1[\psi _a(u)]=[1+\psi _a(u)]u=G_a(u^1).$$

Take the limit $`u\mathrm{}`$; since $`\varphi (p_0)=0`$ we have $`lim_u\mathrm{}\psi _a(u)=1`$ and therefore

$$S_a(1)=\varphi (a^1).$$

###### Lemma 6.

Let $`R_a^𝒜`$ and $`S_a^𝒜`$ denote the $`R`$– and $`S`$–transform, respectively, of an element $`a`$ in the probability space $`(𝒜,\varphi )`$. Let $`q`$ be an orthogonal projection which is free from $`a`$ and which fulfills $`0<\varphi (q)=s`$. Let $`R_{qaq}^{q𝒜q}`$ and $`S_{qaq}^{q𝒜q}`$ denote $`R`$– and $`S`$–transform, respectively, of the element $`qaq(q𝒜q,\frac{1}{s}\varphi )`$. The following identities hold:

$$R_{qaq}^{q𝒜q}(t)=R_a^𝒜(st),$$

$$S_{qaq}^{q𝒜q}(z)=S_a^𝒜(sz).$$

###### Proof.

The first identity was proved in papers \[NS2, Shl2\]. The second identity follows from the first one and (19). ∎

The following lemma is due to Haagerup and Larsen \[HL\]. The proof of the first identity is by direct calculation and the second identity follows from the first one.

###### Lemma 7.

For every noncommutative random variable $`a`$ and $`t\sigma (a)`$ we have

$$\psi _{a^1}(t)+\psi _a\left(\frac{1}{t}\right)=1.$$

If $`a`$ is a strictly positive operator and $`0s1`$ then

$$S_a(s)S_{a^1}(s1)=1.$$

## 3. $`R`$–diagonality with amalgamation

### 3.1. Definition and basic properties

In this section we show a few equivalent definitions of $`R`$–diagonality with amalgamation. Usually they are direct analogues of their scalar analogues; proof of their equivalence is similar to the one in the scalar case as well. These definitions are expressed in terms of different notions, what will turn out to be very useful in applications.

###### Theorem and Definition 8.

Let $`(𝒟𝒜,E)`$ be a $`𝒟`$–valued probability space and let $`a𝒜`$. Then the following conditions on $`a`$ are equivalent. The element $`a`$ is said to be $`R`$-diagonal with amalgamation over $`𝒟`$ (or $`R`$–diagonal over $`𝒟`$) if it satisfies one (hence all) of these conditions.

1. We define

$`P_{11}`$ $`=\mathrm{span}\{𝒟a^{}𝒟,𝒟a^{}𝒟a𝒟a^{}𝒟,𝒟a^{}𝒟a𝒟a^{}𝒟a𝒟a^{}𝒟,\mathrm{}\},`$
$`P_{12}`$ $`=\{x\mathrm{span}\{𝒟,𝒟a^{}𝒟a𝒟,𝒟a^{}𝒟a𝒟a^{}𝒟a𝒟,\mathrm{}\}:E(x)=0\},`$
$`P_{21}`$ $`=\{x\mathrm{span}\{𝒟,𝒟a𝒟a^{}𝒟,𝒟a𝒟a^{}𝒟a𝒟a^{}𝒟,\mathrm{}\}:E(x)=0\},`$
$`P_{22}`$ $`=\mathrm{span}\{𝒟a𝒟,𝒟a𝒟a^{}𝒟a𝒟,𝒟a𝒟a^{}𝒟a𝒟a^{}𝒟a𝒟,\mathrm{}\}.`$
One has

$$E(x_1x_2\mathrm{}x_n)=0,$$

for every $`n1`$, all $`i_1,i_2,\mathrm{},i_{n+1}\{1,2\}`$, and all $`x_1P_{i_1i_2}`$, $`x_2P_{i_2i_3}`$, …, $`x_nP_{i_n,i_{n+1}}`$.
2. Consider the family of $`𝒟`$–valued noncrossing cumulants

$$\{\kappa (d_1a^{s_1}d_2a^{s_2}\mathrm{}d_na^{s_n}):n1;s_1,\mathrm{},s_n\{1,\},d_1,\mathrm{},d_n𝒟\}.$$

Then $`\kappa (d_1a^{s_1}d_2a^{s_2}\mathrm{}d_na^{s_n})=0`$ whenever $`(s_1,\mathrm{},s_n)`$ is not alternating, i.e. if it is not of the form $`(1,,1,,\mathrm{},1,)`$ or $`(,1,,1,\mathrm{},,1)`$.
3. There exists an enlargement $`(𝒟\stackrel{~}{𝒜},\stackrel{~}{E})`$ of the $`𝒟`$–valued probability space $`(𝒟𝒜,E)`$ and a scalar element $`u\stackrel{~}{𝒜}`$ such that:

1. $`u`$ is unitary;
    2. $`\{a,a^{}\}`$ and $`\{u,u^{}\}`$ are free with amalgamation over $`𝒟`$;
    3. $`|E(u)|<1`$ (since $`u`$ is scalar, $`E(u)`$ is a multiple of identity, can be therefore regarded as a complex number);
    4. elements $`a`$ and $`ua`$ are identically $`𝒟`$–distributed.
4. For every enlargement $`(𝒟\stackrel{~}{𝒜},\stackrel{~}{E})`$ of the $`𝒟`$–valued probability space $`(𝒟𝒜,E)`$ and a scalar element $`u\stackrel{~}{𝒜}`$ such that $`u`$ is unitary and $`\{a,a^{}\}`$ and $`\{u,u^{}\}`$ are free with amalgamation over $`𝒟`$, we have that elements $`a`$ and $`ua`$ are identically $`𝒟`$–distributed.

If $`x(𝒜,\varphi )`$ is $`R`$–diagonal with amalgamation over $``$ we simply say that $`x`$ is $`R`$–diagonal (or scalar $`R`$–diagonal).

###### Proof.

The proof follows closely the proof the corresponding scalar–valued Theorem from \[NSS1\] and thus we will be quite condensed in the following.

Proof of the implications $`\text{3}\text{1}\text{4}`$

Suppose that $`u`$ is a scalar unitary. Let $`xx^{}`$ be a linear map which acts on formal noncommutative polynomials of $`a`$ and $`a^{}`$ with coefficients in $`𝒟`$ and which replaces $`a`$ by $`ua`$:

$$d_1a^{s_1}d_2a^{s_2}\mathrm{}d_na^{s_n}d_{n+1}d_1(ua)^{s_1}d_2(ua)^{s_2}\mathrm{}d_n(ua)^{s_n}d_{n+1},$$

for $`n0`$, $`d_1,\mathrm{},d_{n+1}𝒟`$, $`s_1,\mathrm{},s_n\{1,\}`$.

It is easy to see that every polynomial of $`a`$, $`a^{}`$ and $`𝒟`$ is a linear combination of an element $`d𝒟`$ and expressions of type

(20)
$$\begin{array}{c}x=x_1x_2\mathrm{}x_n,\text{where }n1;\hfill \\ \hfill x_1P_{i_1i_2},x_2P_{i_2i_3},\mathrm{},x_nP_{i_ni_{n+1}};i_1,\mathrm{},i_{n+1}\{1,2\},\end{array}$$

therefore the property that $`a`$ and $`ua`$ are identically $`𝒟`$–distributed is equivalent to the property that for every $`x`$ as in Eq. (20) we have $`E(x^{})=E(x)`$.

We have that

$`y^{}`$ $`=yu^{}`$ $`\text{for }yP_{11},`$
$`y^{}`$ $`=y`$ $`\text{for }yP_{12},`$
$`y^{}`$ $`=uyu^{}`$ $`\text{for }yP_{21},`$
$`y^{}`$ $`=uy`$ $`\text{for }yP_{22},`$
therefore for $`x`$ as in (20) there are $`s_1,\mathrm{},s_{n+1}\{1,\}`$ such that

(21)
$$x^{}=x_1^{}x_2^{}\mathrm{}x_n^{}=[u^{s_1}]x_1u^{s_2}x_2\mathrm{}u^{s_n}x_n[u^{s_{n+1}}]$$

(the factors in brackets might be absent).

($`\text{1}\text{4}`$) In Eq. (21) we can replace $`u`$ by $`E(u)+u_0`$, where $`u_0=uE(u)`$, and distribute it. Since $`E(u_0)=0`$ and $`E(u)`$, for each summand we can directly apply the freeness condition (8), therefore $`E(x^{})=0=E(x)`$ and condition 4 holds.

($`\text{3}\text{1}`$) Let $`u_1,u_2,\mathrm{}`$ be a sequence of scalar unitaries identically distributed as $`u`$, such that the family $`\{a,a^{}\},\{u_1,u_1^{}\},\{u_2,u_2^{}\},\mathrm{}`$ is free with amalgamation over $`𝒟`$ (it is always possible to extend the probability space $`(𝒟\stackrel{~}{𝒜},\stackrel{~}{E})`$ in order to find such unitaries). It follows by induction that $`a`$ and $`v_na`$ have the same $`𝒟`$–valued distributions, where $`v_n=u_nu_{n1}\mathrm{}u_2u_1`$ are scalar unitaries. For each $`n`$ we have that $`\{v_n,v_n^{}\}`$ and $`\{a,a^{}\}`$ are free and $`E(v_n)`$ converges to zero. It follows that without any loss of generality we can assume that $`E(u)=0`$.

We have that if $`zP_{11}`$ then $`E(z)=E(z^{})=E(zu)=E(z)E(u)`$ and therefore $`E(z)=0`$. Similarly if $`zP_{22}`$ then $`E(z)=0`$; therefore if $`zP_{ij}`$, $`i,j\{1,2\}`$ then $`E(z)=0`$.

From (21) and the freeness condition (8) we have

$$E(x)=E(x^{})=E([u^{s_1}]x_1u^{s_2}x_2\mathrm{}u^{s_n}x_n[u^{s_{n+1}}])=0,$$

therefore condition 1 holds.

Proof of the equivalence $`\text{2}\text{4}`$

($`\text{2}\text{4}`$) Let us consider one of the moments

(22)
$$E[(au)^{s_1}d_1(au)^{s_2}d_2\mathrm{}d_{n1}(au)^{s_n}],$$

where $`s_1,\mathrm{},s_n\{1,\}`$ and $`d_1,\mathrm{},d_{n1}𝒟`$. It can be written in the form (17), where $`a_1,\mathrm{},a_{n+1}\{u,d,u^{}:d𝒟\}`$ and $`b_1,\mathrm{},b_n\{da,a^{}d:d𝒟\}`$. Simple combinatorial arguments show that only special non–crossing partitions contribute in Eq. (17), namely noncrossing partitions $`\pi `$ such that $`E_{\pi ^c}`$ does not depend on $`u`$ and condition 4 holds.

($`\text{4}\text{2}`$) Suppose that the statement holds for every $`n<n_0`$ and let us consider $`(s_1,s_2,\mathrm{},s_n)`$, $`s_1,\mathrm{},s_n\{1,\}`$, such that $`(s_1,s_2,\mathrm{},s_n)`$ is equal neither to $`(1,,1,,\mathrm{},1,)`$ nor to $`(,1,,1,\mathrm{},,1)`$.

As above, we can write (22) in the form (17), where $`a_1,\mathrm{},a_{n+1}\{u,d,u^{}:d𝒟\}`$ and $`b_1,\mathrm{},b_n\{da,a^{}d:d𝒟\}`$. From the inductive assumption we see that the only summand on the right hand side of (17) which depends on $`E(u)`$ or $`E(u^{})`$ is the summand corresponding to $`\pi =\left\{\{1,2,\mathrm{},n\}\right\}`$; therefore it must be equal to zero and the statement follows.

Of course the implication $`\text{4}\text{3}`$ is trivial. ∎

###### Remark.

In the same way as in the scalar–valued case \[NS3\], it is easy to see the following:

1. Scalar Haar unitaries are $`R`$–diagonal with amalgamation over $`𝒟`$.
2. If $`a,b(𝒟𝒜,E)`$ have a property that $`\{a,a^{}\}`$ and $`\{b,b^{}\}`$ are free with amalgamation over $`𝒟`$ and $`a`$ is $`R`$–diagonal with amalgamation over $`𝒟`$ then also $`ab`$ and $`ba`$ are $`R`$–diagonal with amalgamation over $`𝒟`$.

### 3.2. Scalar $`R`$–diagonality in terms of freeness

We say that a nonempty sequence $`(s_1,\mathrm{},s_n)`$ (where $`s_1,\mathrm{},s_n\{1,1\}`$) is balanced if $`s_1+\mathrm{}+s_n=0`$ and its partial sums fulfill $`s_1,s_1+s_2,\mathrm{},s_1+\mathrm{}+s_{n1}0`$.

Let an element $`a(𝒜,\varphi )`$ be given. We will use the following notation: $`a^1:=a`$ and $`a^1:=a^{}`$. We define

$$𝒦_a=\mathrm{span}\{a^{s_1}a^{s_2}\mathrm{}a^{s_n}:(s_1,\mathrm{},s_n)\text{ is balanced}\}.$$

It is easy to see that $`𝒦_a`$ is an algebra.

###### Theorem 9.

An element $`a(𝒜,\varphi )`$ is $`R`$–diagonal if and only if the following conditions hold:

1. for every $`z`$ such that $`|z|=1`$ we have that $`a`$ and $`za`$ have the same distribution,
2. $`aa^{}`$ and $`K_a`$ are free.

###### Proof.

Suppose that $`a`$ is $`R`$–diagonal. It trivially fulfills condition 1.

We use Theorem 4 to compute a cumulant $`\kappa (x_1\mathrm{}x_n)`$, where for each $`1kn`$ we have that either $`x_k=aa^{}`$ or $`x_k=a^{s_1^k}\mathrm{}a^{s_{n_k}^k}`$, where the sequence $`(s_i^k)_{1in_k}`$ is balanced; furthermore let each of these two possibilities occur for at least one index $`k`$. From the following Lemma 11 it follows that the sum on the right–hand side of (18) is equal to zero; therefore Theorem 2 implies that the condition 2 is fulfilled.

Suppose now that $`a𝒜`$ fulfills conditions 1 and 2. We will prove by induction over $`n`$ that $`\kappa (a^{s_1}\mathrm{}a^{s_n})=0`$ for all sequences $`s_1,\mathrm{},s_n\{1,1\}`$ which are not alternating, i.e. are not of the following form: $`(1,1,1,1,\mathrm{},1,1)`$ or $`(1,1,1,1,\mathrm{},1,1)`$.

Consider first the case $`s_1+\mathrm{}+s_n0`$. From condition 1 follows that for every $`z`$, $`|z|=1`$ we have

(23)
$$\begin{array}{c}\kappa (a^{s_1}\mathrm{}a^{s_n})=\kappa (z^{s_1}a^{s_1}z^{s_2}a^{s_2}\mathrm{}z^{s_n}a^{s_n})\hfill \\ \hfill =z^{s_1+\mathrm{}+s_n}\kappa (a^{s_1}\mathrm{}a^{s_n});\end{array}$$

therefore $`\kappa (a^{s_1}\mathrm{}a^{s_n})=0`$.

We consider now the case $`s_1+\mathrm{}+s_n=0`$. We define $`k`$ to be the index such that the partial sum $`s_1+\mathrm{}+s_{k+1}`$ takes the biggest value and a sequence $`(r_i)`$ given by a cyclic rotation of the sequence $`(s_i)`$:

$$(r_1,r_2,\mathrm{},r_n)=(s_{nk+1},s_{nk+2},\mathrm{},s_{n1},s_n,s_1,s_2,\mathrm{},s_{nk}).$$

Since the scalar–valued cumulants $`\kappa `$ have the cyclic property (cf Lemma 1) it is sufficient to show our theorem for the sequence $`(r_i)`$.

Partial sums of $`(r_i)`$ have the following property:

$$r_1,r_1+r_2,r_1+r_2+r_3,\mathrm{},r_1+\mathrm{}+r_{n1}1$$

and $`r_1=1`$. It follows that $`(r_i)`$ can be written as a concatenation of the following nonempty sequences:

$$(r_1,\mathrm{},r_n)=((s^1),(s^2),\mathrm{},(s^m)),$$

where for each $`k`$ we have that either the sequence $`(s^k)`$ is given by $`(s^k)=(1,1)`$ or $`(s^k)=(s_1^k,s_2^k,\mathrm{},s_{n_k}^k)`$ is balanced. Every possibility occurs at least once unless the original sequence $`(s_1,\mathrm{},s_n)`$ was not equal to $`(1,1,1,1,\mathrm{},1,1)`$ or to $`(1,1,1,1,\mathrm{},1,1)`$. Therefore the condition 2 implies that

(24)
$$\kappa \left((a^{s_1^1}\mathrm{}a^{s_{n_1}^1})\mathrm{}(a^{s_1^m}\mathrm{}a^{s_{n_m}^m})\right)=0.$$

On the other hand we can use Theorem 4 to express the left–hand side of (24) in terms of cumulants of type $`\kappa (a^{p_1}\mathrm{}a^{p_w})`$. At the first sight Lemma 11 concerns only $`R`$–diagonal operators; however the inductive hypothesis assures us that all non–alternating cumulants of less than $`n`$ factors vanish; therefore we have that the only nonvanishing term in (18) is given by the full partition $`\pi =\mathrm{𝟏}_n`$:

(25)
$$\kappa \left((a^{s_1^1}\mathrm{}a^{s_{n_1}^1})\mathrm{}(a^{s_1^m}\mathrm{}a^{s_{n_m}^m})\right)=\kappa (a^{r_1}\mathrm{}a^{r_n}).$$

Eq. (24) and (25) imply that $`\kappa (a^{r_1}\mathrm{}a^{r_n})=0`$. ∎

The above proof used the tracial property of the state $`\varphi `$, therefore it seems to be technically difficult to find a similar characterization of the $`R`$–diagonality in the operator–valued setup. However, we have the following implication in one direction:

###### Theorem 10.

Suppose that $`a(𝒟𝒜,E)`$ is $`R`$–diagonal with amalgamation. Then the following hold:

1. for every $`z`$ such that $`|z|=1`$ we have that $`a`$ and $`za`$ have the same distribution,
2. $`aa^{}`$ and $`K_a`$ are free with amalgamation over $`𝒟`$.

The proof follows exactly its scalar–valued analogue.

###### Lemma 11.

Suppose that $`a(𝒜,\varphi )`$ is $`R`$–diagonal, let $`t_1,\mathrm{},t_n\{1,1\}`$. We introduce an equivalence relation on the set $`\{1,\mathrm{},n\}`$ given by

$$(ij)t_1+\mathrm{}+t_{i1}+\frac{t_i}{2}=t_1+\mathrm{}+t_{j1}+\frac{t_j}{2}.$$

The above equivalence relation defines a certain (possibly crossing) partition $`\sigma `$ of the set $`\{1,\mathrm{},n\}`$.

Let $`\pi \mathrm{NC}(\{1,\mathrm{},n\})`$ be such that $`\kappa _\pi (a^{t_1}\mathrm{}a^{t_n})0`$.

Then $`t_1+\mathrm{}+t_n=0`$ and $`\pi \sigma `$.

The proof follows easily by induction.

## 4. Compatible scalar and operator–valued structures

In the following we will consider an algebra $`𝒜`$ equipped with two structures: the scalar–valued structure $`(𝒜,\varphi )`$ and an operator–valued structure $`(𝒟𝒜,E)`$. We say that the scalar and operator–valued structures on $`𝒜`$ are compatible if $`\varphi (x)=\varphi [E(x)]`$ for every $`x𝒜`$. .

It is a fascinating question how to relate properties of random variables regarded once as elements of $`(𝒜,\varphi )`$ and another tome as elements of $`(𝒟𝒜,E)`$. Of course the $`𝒟`$–valued distribution (with respect to conditional expectation $`E`$) of a random variable $`x`$ determines its $``$–valued distribution (with respect to the trace $`\varphi `$), but this formula might be very complicated. In the following we consider some special situations, when it is much easier to establish such a link.

In order to distinguish these objects, we will denote by $`\kappa ^{}`$ the cumulants $`\kappa :𝒜^n`$ in the scalar probability space $`(𝒜,\varphi )`$ and by $`\kappa ^𝒟`$ the cumulants $`\kappa :𝒜^{_𝒟n}𝒟`$ in the $`𝒟`$–valued probability space $`(𝒟𝒜,E)`$.

### 4.1. Freeness with algebra $`𝒟`$

The following theorem is a special case of a result of Nica, Shlyakhtenko, and Speicher, which will be published elsewhere \[NSS3\]. In order to be self-contained we provide a short sketch of the proof for our special case.

###### Theorem 12.

Let $`(𝒜,\varphi )`$ and $`(𝒟𝒜,E)`$ be compatible and let $`X𝒜`$. Then, $`X`$ and $`𝒟`$ are free in $`(𝒜,\varphi )`$ iff for every $`n1`$ and $`x_1,\mathrm{},x_nX`$ there exists $`c_n(x_1,\mathrm{},x_n)`$ such that for every $`d_1,\mathrm{},d_{n1}𝒟`$ we have

(26)
$$\begin{array}{c}\kappa ^𝒟(x_1d_1x_2d_2\mathrm{}x_{n1}d_{n1}x_n)\hfill \\ \hfill =c_n(x_1,\mathrm{},x_n)\varphi (d_1)\varphi (d_2)\mathrm{}\varphi (d_{n1})I.\end{array}$$

If the above holds, we have

$$c_n(x_1,\mathrm{},x_n)=\kappa ^{}(x_1\mathrm{}x_n).$$

###### Proof.

Suppose that $`X`$ and $`𝒟`$ are free with respect to the state $`\varphi `$. We will prove by induction over $`n`$ that

$$\begin{array}{c}\kappa ^𝒟(x_1d_1x_2d_2\mathrm{}x_{n1}d_{n1}x)\hfill \\ \hfill =\kappa ^{}(x_1\mathrm{}x_n)\varphi (d_1)\varphi (d_2)\mathrm{}\varphi (d_{n1})I.\end{array}$$

Suppose that the statement is true for all $`n<n_0`$. Lemma 3 gives us

(27)
$$\varphi (x_1d_1x_2d_2\mathrm{}x_{n_0}d_{n_0})=\underset{\pi }{}\kappa _\pi ^{}(x_1\mathrm{}x_{n_0})m_{\pi ^c}(d_1\mathrm{}d_{n_0})$$

Directly from the definition of the free cumulants we have

(28)
$$\varphi [E(x_1d_1\mathrm{}x_{n_0}d_{n_0})]=\underset{\pi }{}\varphi [\kappa _\pi ^𝒟(x_1d_1\mathrm{}x_{n_0}d_{n_0})].$$

The left–hand sides of these equations are equal. From the inductive hypothesis we see that if $`\pi \left\{\{1,2,\mathrm{},n\}\right\}`$ then corresponding summands on the right–hand sides of (27) and (28) are equal; therefore also for $`\pi =\left\{\{1,2,\mathrm{},n\}\right\}`$ they must be equal as well:

$$\begin{array}{c}\varphi \left[k^{}(x_1\mathrm{}x_{n_0})\varphi (d_1)\mathrm{}\varphi (d_{n_01})d_{n_0}\right]=\hfill \\ \hfill \varphi [\kappa ^𝒟(x_1d_1\mathrm{}x_{n_01}d_{n_01}x_{n_0})d_{n_0}].\end{array}$$

Since $`\varphi `$ is faithful and the above identity holds for all $`d_{n_0}𝒟`$, it follows

$$k^{}(x_1\mathrm{}x_{n_0})\varphi (d_1)\mathrm{}\varphi (d_{n_01})=\kappa ^𝒟(x_1d_1\mathrm{}x_{n_01}d_{n_01}x_{n_0}).$$

Conversely, if (26) holds for all $`n`$, let us define $`\kappa ^{}(x_1\mathrm{}x_n)=c_n(x_1,\mathrm{},x_n)`$. We have that

$$\begin{array}{c}\varphi (x_1d_1x_2d_2\mathrm{}x_nd_n)=\varphi [E(x_1d_1x_2d_2\mathrm{}x_nd_n)]=\hfill \\ \hfill \underset{\pi }{}\varphi [\kappa _\pi ^𝒟(x_1d_1\mathrm{}x_nd_n)]=\underset{\pi }{}\kappa _\pi ^{}(x_1\mathrm{}x_n)m_{\pi ^c}(d_1\mathrm{}d_n)\end{array}$$

If we take $`d_1=\mathrm{}=d_n=I`$ we see that $`\kappa ^{}`$ indeed fulfills the definition of a cumulant. Lemma 3 implies that $`X`$ and $`𝒟`$ are free. ∎

### 4.2. Freeness versus freeness with amalgamation

The following theorem is a special case of a result of Schlyakhtenko.

###### Theorem 13.

Let $`(𝒜,\varphi )`$ and $`(𝒟𝒜,E)`$ be compatible, let unital algebras $`X`$ and $``$ (where $`X,𝒜`$) be free with amalgamation over $`𝒟`$ and let $`X`$ and $`𝒟`$ be free (with respect to state $`\varphi `$).

Then $`X`$ and $`𝒟`$ are free (with respect to the state $`\varphi `$).

###### Proof.

From the operator–valued version of Lemma 3 it follows that for $`x_1,\mathrm{},x_nX`$ and $`b_1,\mathrm{},b_n`$ we have

$$E[b_1x_1b_1x_2\mathrm{}b_nx_n]=\underset{\pi }{}(E\kappa ^𝒟)_{\pi ^c\pi }(b_1x_1\mathrm{}b_nx_n).$$

We apply state $`\varphi `$ to both sides of the equation; Theorem 12 implies that

$$\varphi (b_1x_1\mathrm{}b_nx_n)=\underset{\pi }{}(\varphi \kappa ^{})_{\pi \pi ^c}(b_1x_1\mathrm{}b_nx_n).$$

This means (Lemma 3) that the joint moments of $`X`$ and $``$ are as if $`X`$ and $``$ were free. But this means exactly that they are free. ∎

### 4.3. Relation between scalar $`R`$–diagonality and $`R`$–diagonality with amalgamation

The following theorem is one of the main results of this article.

###### Theorem 14.

Let us consider an $``$-valued probability space $`(𝒜,E)`$ and a scalar probability space $`(𝒜,\varphi )`$ which are compatible. Suppose that $`a𝒜`$ is $`R`$-diagonal with amalgamation over $``$ and furthermore let $`aa^{}`$ and $``$ be free. Then $`a`$ is $`R`$-diagonal.

We provide two proofs of this theorem.

###### Proof.

We apply Theorem 10 and Theorem 13 for algebra $`X`$ generated by $`aa^{}`$. It follows that the assumptions of Theorem 9 are fulfilled. ∎

###### Proof.

Let $``$ be the unital algebra generated by $`aa^{}`$ and let $`_0=\{x:\varphi (x)=0\}`$. Furthermore we define $`_0=\{x:\varphi (x)=0\}`$.

We define

$$\begin{array}{c}Q_{11}=\mathrm{span}\{(a^{}),(a^{})_0_0,(a^{})_0_0_0_0,\hfill \\ \hfill (a^{})_0_0_0_0_0_0,\mathrm{}\},\end{array}$$

$`Q_{12}`$ $`=\{x\mathrm{span}\{,a^{}a,a^{}a,a^{}a,\mathrm{}\}:\varphi (x)=0\},`$
$`Q_{21}`$ $`=\mathrm{span}\{_0,_0_0_0,_0_0_0_0_0,\mathrm{}\},`$
$`Q_{22}`$ $`=\mathrm{span}\{(a),_0_0(a),_0_0_0_0(a),\mathrm{}\}.`$
Let sets $`P_{ij}^{}`$ and $`P_{ij}^{}`$ be as in condition 1 of Theorem 8 for $`𝒟=`$, resp. for $`𝒟=`$ (in this case we use $`\varphi `$ instead of $`E`$).

We have that $`P_{ij}^{}Q_{ij}`$ for all $`i,j\{1,2\}`$, therefore the theorem follows from the following stronger lemma. ∎

###### Lemma 15.

If $`x_1Q_{i_1i_2},x_2Q_{i_2i_3},\mathrm{},x_nQ_{i_ni_{n+1}}`$ (where $`i_1,\mathrm{},i_{n+1}\{1,2\})`$ then

$$\varphi (x_1x_2\mathrm{}x_n)=0.$$

If furthermore $`(i_1,i_{n+1})(1,2)`$ then

$$E(x_1x_2\mathrm{}x_n)=0.$$

###### Proof.

We shall prove the lemma by induction over $`n`$.

Since $`Q_{12}=_0\{xQ_{12}:E(x)=0\}`$, therefore we can assume that for all $`k`$ such that $`(i_k,i_{k+1})=(1,2)`$ we have either $`x_k_0`$ or $`E(x_k)=0`$.

Note that if $`(i,j)(1,2)`$ then $`Q_{ij}P_{ij}^{}`$. (For $`(i,j)=(2,1)`$ observe that if $`x=b_1d_1b_2d_2\mathrm{}d_{n1}b_n`$, where $`b_1,\mathrm{},b_n_0`$ and $`d_1,\mathrm{},d_{n1}𝒟_0`$ then for every $`d𝒟`$ we have

$$\varphi [E(x)d]=\varphi [E(xd)]=\varphi (xd)=\varphi \left[x\left(d\varphi (d)\right)\right]+\varphi (x)\varphi (d)=0$$

by freeness. Since $`\varphi `$ is faithful we have that $`E(x)=0`$.)

Furthermore $`\{xQ_{12}:E(x)=0\}P_{12}^{}`$; therefore if $`x_1Q_{i_1i_2},x_2Q_{i_2i_3},\mathrm{},x_nQ_{i_ni_{n+1}}`$ have the additional property that $`E(x_k)=0`$ for all $`k`$ such that $`(i_k,i_{k+1})=(1,2)`$ then the condition 1 of Theorem 8 implies $`E(x_1x_2\mathrm{}x_n)=0.`$

If the above case does not hold, let $`k`$ the index with the property that $`(i_k,i_{k+1})=(1,2)`$ and $`x_k_0`$. If $`k=1`$ then $`E(x_1x_2\mathrm{}x_n)=x_1E(x_2\mathrm{}x_n)=0`$ by inductive hypothesis, similar argument is valid for $`k=n`$.

For $`2kn1`$ let us consider a product

$$x_1x_2\mathrm{}x_{k2}(x_{k1}x_kx_{k+1})x_{k+2}\mathrm{}x_n.$$

We will show that $`x_{k1}x_kx_{k+1}Q_{i_{k1}i_{k+2}}`$, therefore the inductive hypothesis can be applied.

For $`(i_{k1},i_{k+2})(1,2)`$ the proof is very simple. For $`(i_{k1},i_{k+2})=(1,2)`$ we use the assumption that $`\varphi `$ is tracial and that $``$ and $``$ are free. ∎

### 4.4. Matrix algebra

We will consider here an important example of a pair of compatible structures on the matrix algebra.

Let us fix $`N`$ and let $`(\stackrel{~}{𝒜},\stackrel{~}{\varphi })`$ be a scalar probability space. We define $`𝒜=_N()\stackrel{~}{𝒜}`$ to be the matrix algebra over $`\stackrel{~}{𝒜}`$. We have that $`(_N()𝒜,E)`$ is an $`_N()`$–valued probability space, where the expectation value $`E:𝒜_N()`$ is defined by $`E=\mathrm{Id}\stackrel{~}{\varphi }`$, i.e.

$$E\left([a_{ij}]_{1i,jN}\right)=[\stackrel{~}{\varphi }(a_{ij})]_{1i,jN}.$$

We can furnish $`𝒜`$ with a structure of a scalar probability space $`(𝒜,\varphi )`$, where $`\varphi ([a_{ij}]_{1i,jN})=\frac{1}{N}_k\stackrel{~}{\varphi }(a_{kk})`$.

We will denote by $`\stackrel{~}{\kappa }^{}`$ (resp. $`\kappa ^{}`$) the scalar cumulant function in the algebra $`(\stackrel{~}{𝒜},\stackrel{~}{\varphi })`$ (resp. $`(𝒜,\varphi )`$).

The following theorem goes back to the work of Nica, Shlyakhtenko, and Speicher and can be found in \[Spe5\].

###### Theorem 16.

An element $`x=[x_{ij}]_{1i,jN}𝒜`$ and the algebra $`_N()𝒜`$ are free (with respect to the state $`\varphi `$) iff for every $`n1`$ there exists $`c_n`$ such that

$$\stackrel{~}{\kappa }^{}[x_{i_1i_2}x_{i_2i_3}\mathrm{}x_{i_ni_1}]=c_n$$

for every $`i_1,\mathrm{},i_n\{1,\mathrm{},n\}`$ and all cumulants $`\stackrel{~}{\kappa }^{}[x_{i_1j_1}x_{i_2j_2}\mathrm{}x_{i_nj_n}]`$ that are not of this type vanish.

If the above holds we have that

$$c_n=N^{n1}\kappa ^{}(\underset{n\mathrm{times}}{\underset{}{x\mathrm{}x}}).$$

The following result is due to Nica, Shlyakhtenko, and Speicher and will be published in \[NSS2\]. In order to be self-contained we indicate the proof.

###### Lemma 17.

The cumulants $`\kappa ^{_N()}`$ in the probability space $`(_N()𝒜,E)`$ and the cumulants $`\stackrel{~}{\kappa }^{}`$ in the probability space $`(\stackrel{~}{A},\stackrel{~}{\varphi })`$ are related as follows:

(29)
$$\begin{array}{c}\kappa ^{_N()}[(m_1z_1)\mathrm{}(m_nz_n)]=\hfill \\ \hfill \stackrel{~}{\kappa }^{}(z_1\mathrm{}z_n)(m_1m_2\mathrm{}m_n)\end{array}$$

for $`m_1z_1,\mathrm{},m_nz_n_N()\stackrel{~}{A}`$.

###### Proof.

We can take (29) as a definition of the function $`\kappa ^{_N()}`$. It is not difficult to show that the corresponding compound functions are given by

$$\kappa _\pi ^{_N()}[(m_1z_1)\mathrm{}(m_nz_n)]=\stackrel{~}{\kappa }_\pi ^{}(z_1\mathrm{}z_n)(m_1m_2\mathrm{}m_n)$$

for every $`\pi \mathrm{NC}(\{1,\mathrm{},n\})`$. Thus we see that the defining relation (15) for cumulants is indeed fulfilled. ∎

### 4.5. Application: upper triangular matrices of Dykema and Haagerup

In this section we present an application of the tools of the operator–valued free probability, namely using significantly simpler methods we prove that circular free Poisson elements have a certain upper triangular representation.

We say that an element $`x`$ of a scalar probability space $`(\stackrel{~}{𝒜},\stackrel{~}{\varphi })`$ is a circular free Poisson element with parameter $`c1`$ if $`x`$ is $`R`$–diagonal and if for every $`n`$, $`n1`$ we have

$$\kappa (\underset{n\mathrm{times}}{\underset{}{xx^{}xx^{}\mathrm{}xx^{}}})=\kappa (\underset{n\mathrm{times}}{\underset{}{x^{}xx^{}x\mathrm{}x^{}x}})=c.$$

We say that an element $`x`$ of a scalar probability space $`(\stackrel{~}{𝒜},\stackrel{~}{\varphi })`$ is circular if $`x`$ is a free Poisson element with parameter $`c=1`$.

The following lemma follows directly from Theorem 4 of Krawczyk and Speicher.

###### Lemma 18.

If elements $`x_1,x_2,\mathrm{},x_{2n}(𝒜,\varphi )`$ have the property that for every odd number $`2k+1`$ and all indices $`i_1,\mathrm{},i_{2k+1}\{1,\mathrm{},2n\}`$ we have that

$$\kappa (x_{i_1}\mathrm{}x_{i_{2k+1}})=0$$

then

$$\kappa (x_2x_3x_4x_5\mathrm{}x_{2n2}x_{2n1}x_{2n}x_1)=\underset{\pi }{}\kappa _\pi (x_1x_2\mathrm{}x_{2n}),$$

where the sum is taken over all noncrossing partitions $`\pi `$ of the set $`\{1,2,\mathrm{},2n\}`$ such that $`\{\{1,2\},\{3,4\},\mathrm{},\{2n1,2n\}\}\pi `$.

###### Theorem 19.

Let $`c1`$ and $`N`$, and let $`(\stackrel{~}{𝒜},\stackrel{~}{\varphi })`$ be a scalar probability space with random variables $`a_1,\mathrm{},a_N\stackrel{~}{𝒜}`$ and $`b_{ij}\stackrel{~}{𝒜}`$ ($`1i<jN`$), where $`a_j`$ is a circular free Poisson element with parameter $`(c1)N+j`$ and each $`b_{ij}`$ is a circular element, and where the family

$$((\{a_j^{},a_j\})_{1jN},(\{b_{ij}^{},b_{ij}\})_{1i<jN})$$

is free. Consider the scalar probability space $`(𝒜,\varphi )`$ defined as in Sect. 4.4 of this Section and consider the random variable

(30)
$$x=\frac{1}{\sqrt{N}}\left[\begin{array}{cccccc}a_1& b_{12}& b_{13}& \mathrm{}& b_{1,N1}& b_{1,N}\\ 0& a_2& b_{23}& \mathrm{}& b_{2,N1}& b_{2,N}\\ 0& 0& a_3& \mathrm{}& \mathrm{}& b_{3,N}\\ \mathrm{}& \mathrm{}& \mathrm{}& \mathrm{}& \mathrm{}& \mathrm{}\\ 0& 0& \mathrm{}& 0& a_{N1}& b_{N1,N}\\ 0& 0& \mathrm{}& 0& 0& a_N\end{array}\right].$$

Then $`x(𝒜,\varphi )`$ is a circular free Poisson element of parameter $`c`$.

###### Proof.

Denote the entries of the matrix $`\sqrt{N}x`$ by $`y_{ij}`$ ($`1i,jN`$). We use Lemma 18 to compute

$$\kappa [y_{i_1j_1}(y_{k_1j_1})^{}y_{i_2j_2}(y_{k_2j_2})^{}\mathrm{}y_{i_nj_n}(y_{k_nj_n})^{}].$$

Since the family $`\{y_{ij}\}`$ is free, the only nonvanishing cumulants are of the type

(31)
$$\begin{array}{c}\kappa [y_{i_1a}(y_{i_2a})^{}y_{i_2a}(y_{i_3a})^{}\mathrm{}y_{i_na}(y_{i_1a})^{}]=\hfill \\ \hfill \underset{\pi }{}\kappa _\pi [(y_{i_1a})^{}y_{i_1a}\mathrm{}(y_{i_na})^{}y_{i_na}],\end{array}$$

where the sum is taken over such $`\pi `$ as in Lemma 18. This expression will be evaluated in Lemma 20 below. It follows that the only nonvanishing cumulants of the matrix $`z=xx^{}`$ are

$$\kappa (z_{i_1i_2}\mathrm{}z_{i_{n1}i_n}z_{i_ni_1})=\frac{c}{N^{n1}}.$$

Let the expectation value $`E:𝒜_N()`$ be as in Sect. 4.4. Condition 2 of Theorem 8 and Lemma 17 show that $`x`$ is $`R`$–diagonal with amalgamation over $`_N()`$. Furthermore, the above computation and Theorem 16 show that $`xx^{}`$ and $`_N()`$ are free. It follows from Theorem 14 that $`x(𝒜,\varphi )`$ is $`R`$–diagonal.

The distribution of any $`R`$–diagonal element $`t`$ is uniquely determined by the distribution of $`tt^{}`$ and the above calculation shows that the distribution of $`xx^{}`$ coincides with a distribution of $`ss^{}`$, where $`s`$ is a free circular Poisson element with parameter $`c`$. ∎

###### Remark.

We have shown that the matrix (30) is $`R`$–diagonal with amalgamation over $`_N()`$ and that $`xx^{}`$ and $`_N()`$ are free; it coincides therefore with the upper triangular form we will construct in Theorem 22.

###### Lemma 20.

Let $`(y_{ij})`$ be as above. For every $`1a,i_1,i_2,\mathrm{},i_nN`$ we have

(32)
$$\begin{array}{c}\underset{\pi }{}\kappa _\pi [(y_{i_1a})^{}y_{i_1a}(y_{i_2a})^{}y_{i_2a}\mathrm{}(y_{i_na})^{}y_{i_na}]\hfill \\ \hfill =\{\begin{array}{cc}(c1)N+a& \mathrm{if}\mathrm{max}(i_1,i_2,\mathrm{},i_n)=a\hfill \\ 1& \mathrm{if}\mathrm{max}(i_1,i_2,\mathrm{},i_n)<a\hfill \\ 0& \mathrm{if}\mathrm{max}(i_1,i_2,\mathrm{},i_n)>a\hfill \end{array},\end{array}$$

where the sum is taken over all $`\pi \mathrm{NC}(\{1,\mathrm{},2n\})`$ such that $`\{\{1,2\},\{3,4\},\mathrm{},\{2n1,2n\}\}\pi `$.

###### Proof.

If $`\mathrm{max}(i_1,\mathrm{},i_n)>a`$ then the statement of the lemma follows trivially since one of the factors is equal to zero.

If $`i_1=\mathrm{}=i_n`$ then the statement follows easily from Lemma 18.

For the other cases we will use the induction with respect to $`\mathrm{max}(i_1,\mathrm{},i_n)\mathrm{min}(i_1,\mathrm{},i_n)`$. We define $`s=\mathrm{min}(i_1,\mathrm{},i_n)`$, $`B=\{2m1,2m:i_m=s\}\{1,2,\mathrm{},2n\}`$ and $`A=\{1,2,\mathrm{},2n\}B=\{2m1,2m:i_m>s\}`$.

For every noncrossing partition

$$\sigma =\{\{i_{1,1},i_{1,2},\mathrm{},i_{1,m_1}\},\{i_{2,1},i_{2,2},\mathrm{},i_{2,m_2}\},\mathrm{},\{i_{k,1},i_{k,2},\mathrm{},i_{k,m_k}\}\}$$

of any subset of the set $`\{1,2,\mathrm{},2n\}`$ (where $`i_{j,1}<i_{j,2}<\mathrm{}<i_{j,m_j}`$ for every value of $`j`$) we define

$$\kappa _\pi (a_1,\mathrm{},a_{2n})=\underset{1lk}{}\kappa (a_{i_{l,1}}a_{i_{l,2}}\mathrm{}a_{i_{l,m_l}}).$$

Due to the freeness every partition $`\pi `$ which contributes nontrivially in the sum (32) can be written as $`\pi =\pi _A\pi _B`$, where $`\pi _A\mathrm{NC}(A)`$ and $`\pi _B\mathrm{NC}(B)`$; therefore the left–hand side of (32) is equal to

$$\begin{array}{c}\underset{\pi _A}{}[\kappa _{\pi _A}[(y_{i_1a})^{},y_{i_1a},\mathrm{},(y_{i_na})^{},y_{i_na}]\times \hfill \\ \hfill \underset{\pi _B}{}\kappa _{\pi _B}[(y_{i_1a})^{},y_{i_1a},\mathrm{},(y_{i_na})^{},y_{i_na}]],\end{array}$$

where the first sum is taken over $`\pi _A\mathrm{NC}(A)`$ such that $`\{\{2m1,2m\}:i_m>s\}\pi `$ and the second sum is taken over $`\pi _B\mathrm{NC}(B)`$ such that $`\{\{2m1,2m\}:i_m=s\}\pi _B(\pi _A)^c`$.

For every $`\pi _A`$ we have that $`_{\pi _B}\kappa _{\pi _B}[(y_{i_1a})^{},y_{i_1a},\mathrm{},(y_{i_na})^{},y_{i_na}]`$ is equal to a product of $`|(\pi _A)^c|`$ expressions of type $`\kappa [y_{sa}y_{sa}^{}y_{sa}y_{sa}^{}\mathrm{}y_{sa}y_{sa}^{}]`$ which is always equal to $`1`$ (we use here that $`s=\mathrm{min}(i_1,\mathrm{},i_n)<\mathrm{max}(i_1,\mathrm{},i_n)a`$, so $`s<a`$ and $`y_{sa}`$ is an element from above of the diagonal of the matrix).

Therefore we showed that the left hand side of (32) is equal to

$$\underset{\pi _A}{}\kappa _{\pi _A}[(y_{i_1a})^{},y_{i_1a},\mathrm{},(y_{i_na})^{},y_{i_na}]$$

and the inductive hypothesis can be applied. ∎

### 4.6. Generalized matrix algebra

We will consider a generalization of the example from Sect. 4.4 in which the matrix structure of $`𝒜`$ comes from a sequence of projections.

At the beginning we will show how to recover scalar structure from the compatible operator–valued one and vice versa.

#### 4.6.1. Scalar structure induces the operator–valued structure

Let a scalar probability space $`(𝒜,\varphi )`$ be given and suppose that there are orthogonal projections $`e_1,\mathrm{},e_n𝒜`$ such that $`e_1+\mathrm{}+e_n=I`$.

Let $`𝒟`$ be the unital algebra generated by $`e_1,\mathrm{},e_n`$. We define an expectation value $`E:𝒜𝒟`$ by

$$E(z)=\underset{k}{}\frac{\varphi (ze_k)}{\varphi (e_k)}e_k.$$

In this way we have furnished $`𝒜`$ with a compatible structure of a $`𝒟`$–valued operator space.

#### 4.6.2. Operator–valued structure induces the scalar structure

Let an operator–valued probability space $`(𝒟𝒜,E)`$ be given, such that $`𝒟`$ is a unital algebra generated by orthogonal projections $`e_1,\mathrm{},e_n`$ and let $`t_1,\mathrm{},t_n>0`$, $`t_1+\mathrm{}+t_n=1`$.

We define $`\varphi :𝒜`$ by $`\varphi (z)=\varphi _0[E(z)]`$, where $`\varphi _0:𝒟`$ is a linear functional defined by $`\varphi _0(e_i)=t_i`$. In this way we have furnished $`𝒜`$ with the structure of a scalar probability space $`(𝒜,\varphi )`$ and we have that $`\varphi (z)=\varphi [E(z)]`$ for every $`z𝒜`$.

#### 4.6.3. Scalar random variables

It is not difficult to see that in this example every scalar random variable $`z`$ is a diagonal matrix of the form

$$z=\left[\begin{array}{ccccc}e_1ze_1& 0& \mathrm{}& & 0\\ 0& e_2ze_2& & & \\ \mathrm{}& & \mathrm{}& & \mathrm{}\\ & & & e_{n1}ze_{n1}& 0\\ 0& & \mathrm{}& 0& e_nze_n\end{array}\right].$$

#### 4.6.4. Upper triangular square root

###### Lemma 21.

Let $`𝒜B()`$ be a von Neumann algebra and let $`e_1,\mathrm{},e_n𝒜`$ be orthogonal projections such that $`e_1+\mathrm{}+e_n=I`$. If $`y𝒜`$ is a strictly positive operator then there exists an operator $`x𝒜`$ such that $`y=xx^{}`$ and furthermore $`x`$ is an upper triangular matrix (4) with respect to $`e_1,\mathrm{},e_n`$.

###### Proof.

We consider first the case $`n=2`$. For

$$x=\left[\begin{array}{cc}x_{11}& x_{12}\\ 0& x_{22}\end{array}\right],$$

where $`x_{ij}=e_ixe_j`$, the equation $`xx^{}=y`$ reads

$$\left[\begin{array}{cc}x_{11}x_{11}^{}+x_{12}x_{12}^{}& x_{12}x_{22}^{}\\ x_{22}x_{12}^{}& x_{22}x_{22}^{}\end{array}\right]=\left[\begin{array}{cc}y_{11}& y_{12}\\ y_{21}& y_{22}\end{array}\right],$$

where $`y_{ij}=e_iye_j`$. We solve this system of equations and find $`x_{22}=(y_{22})^{\frac{1}{2}}`$, $`x_{12}=y_{12}x_{22}^1`$ (since $`y`$ is strictly positive, $`x_{22}`$ is invertible).

The equation $`x_{11}x_{11}^{}=y_{11}x_{12}x_{12}^{}`$ has a solution since the operator on the right hand side is strictly positive; for every $`ve_1`$, $`v0`$ we have

$$\begin{array}{c}v,\left[y_{11}y_{12}(y_{22}^1)y_{12}^{}\right]v=\hfill \\ \hfill \left[\begin{array}{c}v\\ y_{22}^1y_{12}^{}v\end{array}\right],\left[\begin{array}{cc}y_{11}& y_{12}\\ y_{21}& y_{22}\end{array}\right]\left[\begin{array}{c}v\\ y_{22}^1y_{12}^{}v\end{array}\right]>0.\end{array}$$

The general case follows from this special case $`n=2`$ by induction as follows. We apply the lemma to the operator $`y`$ and two projections $`f_1=e_1+\mathrm{}+e_{n1}`$ and $`f_2=e_n`$ and thus get an operator $`x_0`$ such that $`y=x_0x_0^{}`$ and

$$x_0=\left[\begin{array}{cc}f_1x_0f_1& f_1x_0f_2\\ 0& f_2x_0f_2\end{array}\right].$$

By induction hypothesis, we can now apply the lemma for the operator

$$y_1=(f_1x_0f_1)(f_1x_0f_1)^{}B[f_1]$$

and the projections $`e_1,\mathrm{},e_{n1}`$ and thus get an $`x_1B[(1e_n)]`$ such that $`x_1x_1^{}=y_1`$ and $`x_1`$ is an upper triangular matrix with respect to $`e_1,\mathrm{},e_{n1}`$. The element

$$x=\left[\begin{array}{cc}x_1& f_1x_0f_2\\ 0& f_2x_0f_2\end{array}\right]$$

gives the wanted triangular square root with respect to $`e_1,\mathrm{},e_n`$. ∎

## 5. The main result

### 5.1. Upper triangular form for $`R`$–diagonal elements

###### Theorem 22.

Every $`R`$–diagonal operator has the upper triangular form property.

###### Proof.

Let $`x^{}(𝒜^{},\varphi ^{})`$ be an $`R`$–diagonal operator. Our goal is to construct a scalar probability space $`(𝒜,\varphi )`$ and elements $`x,e_1,\mathrm{},e_N𝒜`$ such that $`e_1,\mathrm{},e_N`$ are orthogonal projections in respect to which $`x`$ is in the upper triangular form and such that $`x(𝒜,\varphi )`$ has the same distribution as $`x^{}`$. If the condition on spectra (5) holds then it follows that also the original element $`x^{}`$ has the upper triangular property (cf \[DH\]).

First of all note that, for every $`s0`$, the subspace $`V_s`$ defined in (3) fulfills

$$V_s=\overline{\{v:\underset{n\mathrm{}}{lim\; sup}\sqrt[2n]{v,(x^{})^nx^nv}s\}},$$

therefore $`p_s\{x^{}x,(x^{})^2x^2,\mathrm{}\}^{\prime \prime }`$, hence $`p_s`$ and $`xx^{}`$ are free (Theorem 9). The projections $`e_i`$ that we want to construct will turn out at the end of the proof to be equal to $`e_i=p_{s_i}p_{s_{i1}}`$; these are heuristical motivations why we will choose $`e_1,\mathrm{},e_n`$ to be free from $`xx^{}`$.

Construction of $`x`$. Let us first restrict to the case where $`x^{}(x^{})^{}`$ is strictly positive.

For given $`t_1,t_2,\mathrm{},t_N>0`$, $`t_1+\mathrm{}+t_N=1`$ let us consider an enlargement $`(𝒜_1,\varphi _1)`$ of the probability space $`(\mathrm{Alg}(I,x^{}(x^{})^{}),\varphi ^{})`$. This enlargement should contain orthogonal projections $`e_1,e_2,\mathrm{},e_N𝒜_1`$ such that $`e_1+\mathrm{}+e_N=I`$, $`\varphi _1(e_i)=t_i`$ and such that $`x^{}(x^{})^{}`$ and $`\{e_1,\mathrm{},e_N\}`$ are free (this enlargement is given by the Avitzour–Voiculescu free product of algebras \[Avi, Voi1\]).

Lemma 21 gives us an element $`z𝒜_1`$ such that $`zz^{}=x^{}(x^{})^{}`$ and such that $`z`$ has the upper triangular form (4).

We define the operator–valued structure $`(𝒟𝒜_1,E_1)`$ on $`𝒜_1`$ as in Sect. 4.6.1 of Section 4. The free product of algebras with amalgamation over $`𝒟`$ \[VDN\] gives us an enlargement $`(𝒟𝒜,E)`$ of the space $`(𝒟𝒜_1,E_1)`$ and an operator $`u𝒜`$ which is a scalar Haar unitary such that $`\{u,u^{}\}`$ and $`𝒜_1`$ are free with amalgamation over $`𝒟`$. As in Sect. 4.6.2 of Section 4 we recover the scalar–valued structure $`(𝒜,\varphi )`$ on $`𝒜`$. Note that $`(𝒜,\varphi )`$ is an enlargement of $`(𝒜_1,\varphi _1)`$.

Theorem 8 gives us that $`zu`$ is $`R`$–diagonal with amalgamation over $`𝒟`$; we know that $`(zu)(zu)^{}=x^{}(x^{})^{}`$ and $`𝒟`$ are free, therefore Theorem 14 assures us that $`zu`$ is $`R`$–diagonal. The distribution of any $`R`$–diagonal element $`y`$ is uniquely determined by the distribution of $`yy^{}`$; therefore the elements $`x^{}`$ and $`zu`$ are identically distributed.

Since $`u`$ is a diagonal matrix, the operator $`x:=zu`$ is the wanted upper triangular matrix.

Estimates for spectra.

The set $`\sigma _i`$, defined to be the spectrum of $`e_ixe_ie_i𝒜e_i`$ is contained in the spectrum of $`pxpp𝒜p`$, where $`p=e_i+e_{i+1}+\mathrm{}+e_N`$.

We can furnish $`p𝒜p`$ with the operator–valued structure $`(𝒟^{}p𝒜p,E^{})`$ in the standard way (with respect to orthogonal projections $`e_i,\mathrm{},e_N`$); note that $`𝒟^{}=p𝒟p`$ and $`E^{}(y)=E(y)`$ for every $`yp𝒜p`$. For $`z_1,\mathrm{},z_kp𝒜p`$ we have

$$\kappa ^𝒟(z_1\mathrm{}z_k)=\kappa ^𝒟(pz_1\mathrm{}z_kp)=p\kappa ^𝒟(z_1\mathrm{}z_k)p$$

and therefore $`\kappa ^𝒟(z_1\mathrm{}z_k)𝒟^{}`$. This observation implies that the (restriction of) cumulant function $`\kappa ^𝒟`$ in the probability space $`(𝒟𝒜,E)`$ fulfills the definition of the cumulant function $`\kappa ^𝒟^{}`$ in the space $`(𝒟^{}𝒜^{},E^{})`$ so

$$\kappa ^𝒟^{}(z_1\mathrm{}z_k)=\kappa ^𝒟(z_1\mathrm{}z_k).$$

We apply now Theorem 12 and see that $`(pxp)(pxp)^{}=pxx^{}p`$ and $`𝒟^{}`$ are free in the scalar probability space $`(pAp,\frac{1}{\varphi (p)}\varphi )`$. We also see that $`pxp(𝒟^{}p𝒜_2p,E_2^{})`$ is $`R`$–diagonal with amalgamation over $`𝒟^{}`$. Theorem 14 assures us that $`pxp(pAp,\frac{1}{\varphi (p)}\varphi )`$ is $`R`$–diagonal.

Lemma 5 implies that

$$\sigma _i\{z:|z|R_i\},$$

where

$$R_i=\frac{1}{S_{(pxp)(pxp)^{}}^{p𝒜p}(1)}$$

Due to the upper triangular form of $`x`$ we have $`(pxp)(pxp)^{}=pxx{}_{}{}^{}p`$ and Lemma 6 implies that

(33)
$$R_i=\frac{1}{S_{xx^{}}^𝒜[(t_i+t_{i+1}+\mathrm{}+t_N)]}$$

Similarly as above, we see that the spectrum of $`e_{i1}xe_{i1}e_{i1}𝒜e_{i1}`$ is a subset of the spectrum of $`qxqq𝒜q`$, where $`q=Ip=e_1+\mathrm{}+e_{i1}`$.

Lemma 5 implies that

$$\sigma _{i1}\{z:|z|r_i\},$$

where

$$r_i=S_{[(qxq)(qxq)^{}]^1}^{q𝒜q}(1)=\varphi [(qxq)(qxq)^{}],$$

where $`[(qxq)(qxq)^{}]^1`$ denotes the inverse of $`(qxq)(qxq)^{}qAq`$.

Let us introduce the notation

$$x=\left[\begin{array}{cc}qxq& qxp\\ 0& pxp\end{array}\right]=\left[\begin{array}{cc}a& b\\ 0& c\end{array}\right],$$

therefore

$$x^1=\left[\begin{array}{cc}a^1& a^1bc^1\\ 0& c^1\end{array}\right]$$

and

$$(xx^{})^1=\left[\begin{array}{cc}(a^1)^{}a^1& (a^1)^{}a^1bc^1\\ (c^1)^{}b^{}(a^1)^{}a^1& (c^1)^{}b^{}(a^1)^{}a^1bc^1+(c^1)^{}c^1\end{array}\right]$$

and therefore

(34)
$$[(qxq)^1]^{}(qxq)^1=q(xx^{})^1q,$$

is well–defined, where $`(qxq)^1`$ denotes the inverse of $`qxqq𝒜q`$. As before show that $`(qxq)^1(qAq,\frac{1}{\varphi (q)}\varphi )`$ is $`R`$–diagonal and then Eq. (34) and Lemma 6 imply that

(35)
$$r_i=S_{(xx^{})^1}^{𝒜_2}[(t_1+\mathrm{}+t_{i1})].$$

Lastly, Lemma 7 shows that $`R_i=r_i`$.

Proposition 2.2 from \[DH\] shows that $`e_1+e_2+\mathrm{}+e_i=p_{r_i}`$, where $`p_s`$ is the projection on the space (3).

The general case. In the general case where $`x^{}(x^{})^{}`$ might have a kernel, for every $`ϵ>0`$ we construct as above an $`R`$–diagonal element $`x_ϵ(𝒜,\varphi )`$ in the triangular form with respect to projections $`e_1,\mathrm{},e_N𝒜`$, such that $`x_ϵx_ϵ^{}`$ and $`x^{}(x^{})^{}+ϵ`$ are identically distributed.

There exists a sequence $`(ϵ_n)`$ of positive numbers which converges to zero such that the sequence $`\varphi _1[P(x_ϵ,x_ϵ^{},e_1,e_2,\mathrm{},e_N)]`$ converges for every polynomial $`P`$ of $`N+2`$ noncommuting variables. We define $`\stackrel{~}{𝒜}`$ to be the free algebra generated by elements $`x,x^{},e_1,\mathrm{},e_N`$ and a state $`\stackrel{~}{\varphi }`$ on $`\stackrel{~}{𝒜}`$ by

$$\stackrel{~}{\varphi }[P(x,x^{},e_1,\mathrm{},e_N)]=\underset{n\mathrm{}}{lim}\varphi [P(x_{ϵ_n},x_{ϵ_n}^{},e_1,\mathrm{},e_N)].$$

We have that $`x`$ is in the upper triangular form and $`x`$ and $`x^{}`$ are identically distributed.

The spectra estimates can be done similarly. ∎

###### Remark.

In the case $`N=2`$ our proof shows that we can write a given $`R`$–diagonal distribution in the form of a $`2\times 2`$ matrix

$$x=\left(\begin{array}{cc}qxq& qxp\\ 0& pxp\end{array}\right)=\left(\begin{array}{cc}a& b\\ 0& c\end{array}\right),$$

where the spectrum and the distribution of the diagonal elements $`a`$ and $`c`$ can be described quite concretely.

We calculated the spectra as

$$\sigma (a)=\{zR_0|z|R_1\},\sigma (c)=\{zR_1|z|R_2\},$$

where

$`R_0`$ $`={\displaystyle \frac{1}{S_{xx^{}}(1)}}`$
$`R_1`$ $`=S_{(xx^{})^1}(t)={\displaystyle \frac{1}{S_{xx^{}}(t1)}}`$
$`R_2`$ $`=S_{(xx^{})^1}(1).`$
with $`t=\varphi (q)`$.

The distribution of $`c`$ is determined by the facts that $`c`$ is $`R`$–diagonal and that $`cc^{}`$ has the same distribution as $`pxx^{}p`$. The distribution of $`a`$ is determined by the facts that $`a`$ is $`R`$–diagonal and that $`(a^1)^{}a^1`$ has the same distribution as $`q(xx^{})^1q`$. These requirements determine both distributions uniquely since we also have by construction that $`p`$ is free from $`xx^{}`$. (In the latter case one should also note that, by \[HL\], $`R`$–diagonality of $`a`$ implies $`R`$-diagonality of $`a^1`$.)

Since the upper triangular form realization is unique, one can get the realizations of $`x`$ as triangular $`N\times N`$-matrices by iteration of the case for $`N=2`$. But this implies that also in the case of general $`N`$ the distribution of all diagonal elements can be calculated concretely by iteration of the above two prescriptions and that the spectra in this case are given by

$$\sigma (e_kxe_k)=\{zR_{k1}|z|R_k\},$$

where

$$R_k=S_{(xx^{})^1}(t)=\frac{1}{S_{xx^{}}(t1)}\text{where }t:=\varphi (e_1+\mathrm{}+e_{k1})\text{.}$$

### 5.2. Brown measure of $`R`$–diagonal elements

If $`x(𝒜,\varphi )`$ is $`R`$–diagonal then for every complex number $`c`$ such that $`|c|=1`$ we have that elements $`x`$ and $`cx`$ are identically distributed (Theorem 8, condition 4), therefore the Brown measure of $`x`$ is rotationally invariant. Eq. (33), (35) and the discussion from Sect. 1.2.3 of Section 1 imply the following result, which was obtained for the first time by Larsen and Haagerup \[HL, Lar\].

###### Theorem 23.

Let $`x(𝒜,\varphi )`$ be $`R`$–diagonal. Brown spectral distribution measure $`\mu _x`$ of $`x`$ is the rotationally invariant measure on $`=[0,\mathrm{})\times 𝕋`$ (these sets are identified by the polar coordinates $`(r,\psi )re^{i\psi }`$)

$$\mu _x=\nu _x\times \chi ,$$

where $`\nu _x`$ is the probability measure on $`[0,\mathrm{})`$ with the inverse of the distribution function $`F_x(s)=\nu _x[0,s]`$ given by

$$F_x^1(t)=\frac{1}{S_{xx^{}}(t1)}=S_{(xx^{})^1}(t)\text{for }0t1.$$

## 6. Upper triangular form for products of free $`R`$–diagonal elements

Let $`x_1^{},x_2^{}(𝒜^{},\varphi ^{})`$ be $`R`$–diagonal, let $`\{x_1^{},(x_1^{})^{}\}`$ and $`\{x_2^{},(x_2^{})^{}\}`$ be free and let $`t_1,\mathrm{},t_N>0`$, $`t_1+\mathrm{}+t_N=1`$ be given.

For $`i\{1,2\}`$ let $`x_i,e_1,e_2,\mathrm{},e_n(𝒜_i,\varphi _i)`$ be operators given by Theorem 22 applied for $`x_i^{}`$; we furnish $`𝒜_i`$ with a structure of an operator–valued space $`(𝒟𝒜_i,E_i)`$ as in Sect. 4.6.1 of Section 4.

We take now the free product of the algebras $`(𝒟𝒜_i,E_i)`$, $`i\{1,2\}`$ with amalgamation over $`𝒟`$ and denote the resulting space by $`(𝒟𝒜,E)`$. As in Sect. 4.6.2 of Section 4 we recover the scalar–valued structure $`(𝒜,\varphi )`$ on $`𝒜`$.

###### Theorem 24.

The products $`x_1x_2(𝒜,\varphi )`$ and $`x_1^{}x_2^{}(𝒜^{},\varphi ^{})`$ are identically distributed.

###### Proof.

It is well-known \[NS3\] that $`x_1^{}x_2^{}(𝒜^{},\varphi ^{})`$ is $`R`$–diagonal (this follows e.g., by condition 4 of Theorem 8). We will show that $`x_1x_2(𝒜,\varphi )`$ is also $`R`$–diagonal. Firstly, note that $`x_1x_2(𝒟𝒜,E)`$ is $`R`$–diagonal with amalgamation over $`𝒟`$ (see Remark Remark). It remains to show that $`z=(x_1x_2)(x_1x_2)^{}`$ is free from $`𝒟`$.

We can extend the algebra $`𝒜^{}`$ in such a way that $`𝒟𝒜^{}`$ and sets $`𝒟`$, $`\{x_1^{},(x_1^{})^{}\}`$, $`\{x_2^{},(x_2^{})^{}\}`$ are free.

First of all notice that it follows from Theorem 13 that $`\mathrm{Alg}(𝒟,x_1,x_1^{})`$ and $`x_2x_2^{}`$ are free. Therefore for $`d_1,\mathrm{},d_n𝒟`$ we have that $`\varphi [d_1zd_2z\mathrm{}d_nz)^{}]`$ is uniquely determined by moments $`\varphi [(x_2x_2^{})^k]`$ and

(36)
$$\varphi [f_1x_1x_1^{}f_2x_1x_1^{}\mathrm{}f_mx_1x_1^{}]$$

for some $`f_1,\mathrm{},f_m𝒟`$.

But again Theorem 13 gives us that $`𝒟`$ and $`x_1x_1^{}`$ are free; therefore (36) is uniquely determined by moments $`\varphi [(x_1x_1^{})^l]`$ and moments $`\varphi (d_{i_1}\mathrm{}d_{i_p})`$.

If we repeat the above discussion for the product $`\varphi ^{}(d_1z^{}d_2z^{}\mathrm{}d_nz^{})`$, where $`z^{}=x_1^{}x_2^{}(x_1^{}x_2^{})^{}`$, we see that

$$\varphi (d_1zd_2z\mathrm{}d_nz)=\varphi ^{}(d_1z^{}d_2z^{}\mathrm{}d_nz^{}).$$

The above result implies that $`𝒟`$ and $`z`$ are free and that $`z(𝒜,\varphi )`$ and $`z^{}(𝒜^{},\varphi ^{})`$ have the same distribution. It follows that $`x_1x_2(𝒜,\varphi )`$ and $`x_1^{}x_2^{}(𝒜^{},\varphi ^{})`$ have the same distribution. ∎

###### Remark.

Note that in general $`x_1,x_2(𝒜,\varphi )`$ are not free.

The above theorem gives us the upper triangular form of an operator $`x_1x_2`$ if the upper triangular forms of $`x_1`$ and $`x_2`$ are known. Indeed, $`x_1x_2`$ is an upper triangular matrix, whose diagonal elements are $`e_kx_1x_2e_k=(e_kx_1e_k)(e_kx_2e_k)`$.

Since $`x_1`$ and $`x_2`$ are free with amalgamation over $`𝒟`$ and each of them is $`R`$–diagonal with amalgamation over $`𝒟`$, we have that in the scalar probability space $`(e_k𝒜e_k,\frac{1}{t_k}\varphi )`$ the elements $`e_kx_1e_k`$ and $`e_kx_2e_k`$ are free and each of them is $`R`$–diagonal. Lemma 5 shows therefore that the spectral radius of $`e_kx_1x_2e_ke_k𝒜e_k`$ is equal to

$$e_kx_1x_2e_k_{L^2}=e_kx_1e_k_{L^2}e_kx_2e_k_{L^2}$$

which is equal to the product of the spectral radius of $`e_kx_1e_ke_k𝒜e_k`$ and the spectral radius of $`e_kx_2e_ke_k𝒜e_k`$.

We know that the spectral radius of $`e_kx_1e_k`$, $`e_kx_2e_k`$, and $`e_kx_1x_2e_k`$ is given by $`S_{x_1x_1^{}}(t)`$, $`S_{x_2x_2^{}}(t)`$, and $`S_{(x_1x_2)(x_1x_2)^{}}(t)`$, respectively, where $`t=\varphi (e_1+\mathrm{}+e_k)`$, the above discussion shows that for every $`1s0`$ we have

$$S_{x_1x_1^{}}(s)S_{x_2x_2^{}}(s)=S_{x_1x_2x_2^{}x_1^{}}(s).$$

###### Corollary 25.

If $`\mu `$ and $`\nu `$ are probability measures on $`[0,\mathrm{})`$ then

(37)
$$S_\mu (s)S_\nu (s)=S_{\mu \nu }(s)\text{for every }1s0,$$

where $``$ denotes the free multiplicative convolution \[VDN\].

###### Remark.

Since $`S`$–transform is a holomorphic function it follows, that the above equations holds for all $`s`$ for which it makes sense. It is also possible to remove the assumption that $`\mu `$ and $`\nu `$ are measures on $`[0,\mathrm{})`$ by the following argument: every moment of $`\mu \nu `$ is a polynomial in moments of $`\mu `$ and moments of $`\nu `$. If we expand $`S_\mu (s)`$, $`S_\nu (s)`$ and $`S_{\mu \nu }(s)`$ as power series around $`0`$, we have that coefficients are polynomials of moments of $`\mu `$ and moments of $`\nu `$. Since identity (37) holds for a sufficiently many measures it follows that appropriate polynomials on both side of the equation are equal; therefore (37) holds for all probabilistic measures.

Thus we succeeded in finding a nice interpretation for the $`S`$–transform of a nonnegative operator $`a`$ as appropriate spectral radii of the $`R`$–diagonal operator $`x`$ such that $`xx^{}=a`$. Furthermore this interpretation allowed us to find a new proof of the multiplicative property of the $`S`$–transform.

## 7. Random matrices

### 7.1. Discontinuity of Brown measure

One of the greatest difficulties connected with the Kadison–Fuglede determinant and Brown spectral distribution measure is that these two objects do not behave in a continuous way.

For example, the distribution of an $`n\times n`$ nilpotent matrix

$$\left[\begin{array}{ccccc}0& 0& \mathrm{}& 0& 0\\ 1& 0& \mathrm{}& 0& 0\\ 0& 1& \mathrm{}& \mathrm{}& \mathrm{}\\ \mathrm{}& \mathrm{}& \mathrm{}& 0& 0\\ 0& \mathrm{}& 0& 1& 0\end{array}\right](_n,\mathrm{tr}_n)$$

converges, as $`n`$ tends to infinity, to a Haar unitary. All of the above matrices have the determinant equal to $`0`$, while the Haar unitary has the Fuglede–Kadison determinant equal to $`1`$; all of the above matrices have the Brown measure equal to $`\delta _0`$, while the Brown measure of the Haar unitary is the uniform measure on the unit circle $`\{z:|z|=1\}`$.

We would like to discuss the following problem: suppose that a Kolmogorov probability space $`(\mathrm{\Omega },,P)`$ and a sequence of random matrices $`m_n^{\mathrm{}}_n`$ are given. We can regard the set of $`n\times n`$ random matrices with all moments finite as a noncommutative probability space with a state $`\varphi _n(z)=𝔼\mathrm{tr}_nz`$. Suppose that the distribution of $`m_n`$ converges to a distribution of a certain element $`x(𝒜,\varphi )`$, where $`𝒜`$ is a von Neumann algebra. Our goal is to determine the empirical distribution of eigenvalues of $`m_n`$ or—in other words—the Brown measure of $`m_n`$. In the light of the previous discussion we should not expect that the sequence of Brown measures of $`m_n`$ will always converge to the Brown measure of $`x(𝒜,\varphi )`$.

Surprisingly, in many known cases when we consider a “reasonable” sequence of random matrices the sequence of Brown measures converges to the Brown measure of the limit (cf \[BL\]). In these cases, however, the convergence was proved in this way, that the distribution of eigenvalues of $`m_n`$ was calculated by ad hoc methods and nearly by an accident it turned out to converge to the Brown measure of $`x`$. Therefore one of the most interesting problems in the theory of random matrices is to relate the asymptotic distribution of eigenvalues of a sequence of random matrices with the Brown measure of the limit—for example to clarify what does it mean that a sequence of random matrices is “reasonable”.

In this Section we present an interesting direction of the future research, which possibly may give light into this subject.

### 7.2. Asymptotical freeness

It was observed by Voiculescu that many random matrix models provide very natural examples of noncommutative random variables which are, informally speaking, free when the size of the matrices tends to infinity. He introduced the following definition.

###### Definition.

Let $`(\mathrm{\Omega },,P)`$ be a probability space and let $`(a_{1,n})`$ and $`(a_{2,n})`$ be sequences of random matrices, $`a_{1,n},a_{2,n}^{\mathrm{}}(\mathrm{\Omega },_n())`$.

Let $`𝒜`$ be the free $``$–algebra generated by elements $`a_1`$ and $`a_2`$ and let $`\varphi :𝒜`$ be a state defined by

$$\varphi (a_{i_1}^{s_1}\mathrm{}a_{i_k}^{s_k})=\underset{n\mathrm{}}{lim}𝔼\left[\mathrm{tr}_na_{i_1,n}^{s_1}\mathrm{}a_{i_k}^{s_k}\right]$$

for every $`k`$, $`i_1,\mathrm{},i_k\{1,2\}`$ and $`s_1,\mathrm{},s_k\{1,\}`$, where $`\mathrm{tr}_n=\frac{1}{n}\mathrm{Tr}`$ denotes the normalized trace on $`_n()`$.

We say that the sequences $`(a_{1,n})`$ and $`(a_{2,n})`$ are asymptotically free if the above limit always makes sense and if $`\{a_1,a_1^{}\}`$ and $`\{a_2,a_2^{}\}`$ are free.

### 7.3. Asymptotical freeness conjecture

Let $`(D_n)`$ be a sequence of constant hermitian matrices, $`D_n_n()`$, such that the distribution of the sequence $`D_n`$ converges (i.e. for each $`k`$ the limit $`lim_n\mathrm{}𝔼\mathrm{tr}_nD_n^k`$ exists) and such that the operator norms are uniformly bounded: $`D_n<C`$.

For every $`n`$ let $`V_n`$ be a classical random variable with values in the group of unitary matrices $`U(n)`$, which is Haar distributed on this group.

We define a random matrix $`x_n=V_nD_n`$—this is the so–called $`U(n)`$–biinvariant ensemble. It follows from results of Voiculescu that the $``$–distribution of the random variable $`x_n(_n(),\mathrm{tr}_n)`$ converges in moments to a distribution of an $`R`$–diagonal element as $`n`$ tends to infinity and that for each $`k`$ the sequences $`(\sqrt[2k]{(x_n^{})^kx_n^k})_n`$ and $`x_nx_n^{}`$ are asymptotically free. We hope therefore that the following conjecture is true.

###### Conjecture 26.

The sequences $`(lim_k\mathrm{}\sqrt[2k]{(x_n^{})^kx_n^k})_n`$ and $`(x_nx_n^{})_n`$ are asymptotically free.

For every $`n`$ and $`\omega \mathrm{\Omega }`$ we can write the matrix $`x_n(\omega )`$ in the upper triangular form $`y_n(\omega )`$, cf (1); the question is to determine the joint distribution of the random variables $`\lambda _1,\mathrm{},\lambda _n`$ and $`a_{ij}`$ ($`1i<jn`$).

The above conjecture would give us a partial solution to the above problem; for fixed $`t_1,\mathrm{},t_N>0`$ such that $`t_1+\mathrm{}+t_N=1`$ we consider sequences $`k_0(n),\mathrm{},k_N(n)`$ such that for $`n`$ large enough we have $`0=k_0(n)<k_1(n)<\mathrm{}<k_N(n)=N`$ are integer numbers and for each $`1mN`$ we have

$$\underset{n\mathrm{}}{lim}\frac{k_m(n)}{n}=t_1+\mathrm{}+t_m.$$

We consider the corresponding orthogonal projections $`e_1(n),\mathrm{},e_N(n)_n()`$ given by

$$e_i(n)=\mathrm{diag}(\underset{k_{i1}(n)}{\underset{}{0,\mathrm{},0}},\underset{k_i(n)k_{i1}(n)}{\underset{}{1,\mathrm{},1}},\underset{nk_i(n)}{\underset{}{0,\mathrm{},0}}).$$

Using these projections $`e_i`$ we can divide the triangular matrix $`y_n(\omega )`$ into submatrices:

$$y_n(\omega )=\left[\begin{array}{ccccc}e_1y_n(\omega )e_1& e_1y_n(\omega )e_2& \mathrm{}& e_1y_n(\omega )e_{n1}& e_1y_n(\omega )e_n\\ 0& e_2y_n(\omega )e_2& \mathrm{}& e_2y_n(\omega )e_{n1}& e_2y_n(\omega )e_n\\ \mathrm{}& & \mathrm{}& \mathrm{}& \mathrm{}\\ & & & e_{n1}y_n(\omega )e_{n1}& e_{n1}y_n(\omega )e_n\\ 0& & \mathrm{}& 0& e_ny_n(\omega )e_n\end{array}\right].$$

From the conjecture it would follow that $`\{e_1(n),\mathrm{},e_N(n)\}`$ and $`y_n(\omega )y_n^{}(\omega )`$ are asymptotically free; therefore the joint distribution of operators $`e_iy_n(\omega )e_j`$ converges to the distribution of operators $`x_{ij}`$ constructed in Theorem 22.

It would follow that the Brown measures of the considered random matrices converge weakly to the Brown measure of the limit distribution.