Analytic continuations of Fourier and Stieltjes transforms and generalized moments of probability measures

DOI10.1007/S10959-011-0344-9MaRDI QIDQ715747zbMATH OpenOpenAlexFDO

Authors Takahiro Hasebe

Publication date 1 November 2012

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.1510, http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.765.9817

zbMATH Keywords

Fourier transformStieltjes transformCauchy distributionPaley-Wiener theoremnon-commutative probability theory

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Noncommutative probability and statistics (46L53) Free probability and free operator algebras (46L54)

Abstract: We consider analytic continuations of Fourier transforms and Stieltjes transforms. This enables us to define what we call complex moments for some class of probability measures which do not have moments in the usual sense. There are two ways to generalize moments accordingly to Fourier and Stieltjes transforms; however these two turn out to coincide. As applications, we give short proofs of the convergence of probability measures to Cauchy distributions with respect to tensor, free, Boolean and monotone convolutions.

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Cited in

(6)

• An information complexity index for probability measures on \(\mathbb{R}\) with all moments
• Fourier and Cauchy-Stieltjes transforms of power laws including stable distributions
• Analyticity of distribution generalized Fourier-Stieltjes transforms
• On a class of explicit Cauchy-Stieltjes transforms related to monotone stable and free Poisson laws
• Cauchy transforms of measures viewed as some functionals of Fourier transforms
• Generalized Cauchy-Stieltjes transforms of some beta distributions

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