English

A note on analytic continuation of characteristic functions

Classical Analysis and ODEs 2020-09-11 v1 Complex Variables Probability

Abstract

We derive necessary and sufficient conditions for a continuous bounded function f:RCf: R\to C to be a characteristic function of a probability measure. The Cauchy transform KfK_f of ff is used as analytic continuation of ff to the upper and lower half-planes in CC. The conditions depend on the behavior of Kf(z)K_f(z) and its derivatives on the imaginary axis in CC. The main results are given in terms of completely monotonic and absolutely monotonic functions.

Keywords

Cite

@article{arxiv.2009.04492,
  title  = {A note on analytic continuation of characteristic functions},
  author = {Saulius Norvidas},
  journal= {arXiv preprint arXiv:2009.04492},
  year   = {2020}
}

Comments

6 pages

R2 v1 2026-06-23T18:25:35.461Z