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Complex Gaussian continuation

Statement

Assume the Axiom of Countable Choice (The Axiom of Countable Choice (ACω)). For z∈C with Re⁡z>0 and n≥1 let

Gn(z):=∫Rne−z∣x∣2 dx,

where dx is product Lebesgue measure and the complex integral is computed from its real and imaginary parts. Equivalently, the absolutely convergent improper multiple integral used here is the cube-truncation limit lim⁡R→∞∫[−R,R]ne−z∣x∣2 dx of these finite Lebesgue integrals. For n=1 it also equals the sum of the two separately convergent one-sided improper Riemann integrals at 0, computed componentwise (Improper integrals over unbounded intervals); this agreement is proved below. Then:

(a) Gn(z) converges absolutely for every z with Re⁡z>0, and G1 is holomorphic on the right half-plane Ω:={z∈C:Re⁡z>0} with G1′(z)=−∫Rx2e−zx2dx (Complex differentiability at a point, the complex derivative, holomorphic functions, and entire functions, A complex domain is a nonempty connected open subset of C);

(b) with Log⁡ the principal logarithm and the branch z−1/2:=exp⁡(−12Log⁡z) on the slit plane (Complex logarithms, the principal logarithm, and principal and multivalued complex powers, The principal logarithm is the normalised holomorphic branch on the slit plane),

G1(z)=π z−1/2,G1(z)2=πz(z∈Ω),

the value on the positive real axis being G1(t)=π/t for t>0;

(c) for every n≥1 and z∈Ω, Gn(z)=G1(z)n=(π/z)n/2, the power being the branch (π/z)n/2=exp⁡(n2(log⁡π−Log⁡z)).

In particular the factor (1+iτ)−1/2 is defined by this branch for every real τ, since Re⁡(1+iτ)=1>0. No asymptotic or distributional interpretation is asserted.

Facts & Assumptions

Given: n≥1; a complex parameter z with Re⁡z>0; the functions Gn of the Statement; the principal logarithm Log⁡.

[F1]

For n≥1, t>0 and ξ∈Rn, F(e−πt∣x∣2)(ξ)=t−n/2e−π∣ξ∣2/t; at ξ=0 this reads ∫Rne−πt∣x∣2dx=t−n/2, and substituting s=πt gives ∫Rne−s∣x∣2dx=(π/s)n/2. Every polynomial times a positive real Gaussian is absolutely integrable (Euclidean Gaussian transform with the 2π normalization).

[F2]

On a fixed measure space, if measurable complex-valued fn,f satisfy fn→f almost everywhere and ∣fn∣≤g almost everywhere for one nonnegative measurable g with ∫g<∞, then ∫∣fn−f∣→0 (Dominated convergence). For a parameter h→0, apply this to each sequence of nonzero parameters tending to zero.

[F3]

A function is holomorphic when it is complex differentiable at every point of its domain; the derivative is the limit of difference quotients (Complex differentiability at a point, the complex derivative, holomorphic functions, and entire functions). A complex domain is a nonempty connected open set (A complex domain is a nonempty connected open subset of C).

[F4]

The principal logarithm Log⁡ is holomorphic on the slit plane S=C∖(−∞,0], satisfies exp⁡(Log⁡z)=z and Log⁡z=log⁡∣z∣+iArg⁡z with Arg⁡z∈(−π,π), and Log⁡t=ln⁡t for t>0; complex powers are defined by za=exp⁡(aLog⁡z) (Complex logarithms, the principal logarithm, and principal and multivalued complex powers, The principal logarithm is the normalised holomorphic branch on the slit plane).

[F5]

If two holomorphic functions on a complex domain agree on a set with an accumulation point in the domain, they agree everywhere (Identity theorem for holomorphic functions).

[F6]

Tonelli's theorem: for a product-measurable nonnegative function on a σ-finite product, the iterated and double integrals agree (Tonelli's theorem for nonnegative measurable functions on a sigma-finite product).

[F7]

For continuous f:Rn→C with ∫∣f∣<∞, the improper multiple integral used here is lim⁡R→∞∫[−R,R]nf, with finite Lebesgue integrals computed componentwise. Dominated convergence (Dominated convergence) applied to 1[−R,R]nf identifies this limit with the product Lebesgue integral: for any sequence Rj→∞ the indicators tend pointwise to 1 and are dominated by ∣f∣, hence every such sequence has the same limit. For n=1, the real and imaginary parts are bounded and Riemann integrable on every compact interval by A continuous function on [a,b] is Riemann integrable, by Heine-Cantor and Riemann's criterion, and their finite Riemann and Lebesgue integrals agree by A bounded Riemann integrable function on a closed bounded interval is Lebesgue measurable and has the same integral. Applying dominated convergence separately to 1[0,R]f as R→∞ and 1[R,0]f as R→−∞ therefore proves convergence of both one-sided improper integrals of Improper integrals over unbounded intervals; the same argument for ∣f∣ proves absolute convergence. Their sum is the full integral because the overlap {0} has Lebesgue measure zero. Existence of a symmetric limit alone does not imply this agreement.

Proof

1.1givenF1F7algebra

[Absolute convergence] Let z∈Ω and δ:=Re⁡z>0. For every x, ∣e−z∣x∣2∣=e−δ∣x∣2, whose integral over Rn is finite by [F1] with s=δ; hence the real and imaginary parts of x↦e−z∣x∣2 are absolutely improperly integrable and Gn(z) is well defined by [F7]. The same bound holds uniformly on compact subsets of Ω, where δ can be taken positive uniformly.

2.1step 1.1F2F3F7algebra

[Holomorphy of G1] Fix z∈Ω and 0<δ<Re⁡z; let ∣h∣<δ/2. For the function w↦ew the second-order Taylor remainder satisfies ∣ew−1−w∣≤∣w∣2e∣w∣ (the power series of ew−1−w has its first term w22 and the remaining terms are bounded by ∣w∣22(e∣w∣−1)≤∣w∣2e∣w∣). Applying this with w=−hx2 gives ∣e−zx2e−hx2−1+hx2h∣≤∣h∣x4e(∣h∣−Re⁡z)x2≤∣h∣x4e−δx2/2 for all real x and all ∣h∣<δ/2, and x↦x4e−δx2/2 has finite integral; the remainder functions are continuous, hence measurable, converge pointwise to zero, and for ∣h∣<δ/2 are dominated by the nonnegative integrable function (δ/2)x4e−δx2/2. By [F2] along every sequence h→0, their integrals over R tend to zero. Thus the difference quotient (G1(z+h)−G1(z))/h tends, as h→0, to −∫Rx2e−zx2dx. Hence G1 is complex differentiable at every z∈Ω, with the displayed derivative; by [F3] it is holomorphic on Ω.

2.2step 1.1F1F3F4algebra

[The candidate branch] Put H(z):=π exp⁡(−12Log⁡z) for z in the slit plane S⊇Ω. By [F4], Log⁡ is holomorphic on S with Log⁡′z=1/z, and the complex exponential is entire with derivative itself, so by the chain rule for complex derivatives H is holomorphic on the complex domain S (The chain rule for complex derivatives, The complex exponential is entire and its complex derivative is itself); also H(z)2=πexp⁡(−Log⁡z)=π/z because exp⁡(Log⁡z)=z. On the positive axis, Log⁡t=ln⁡t [F4], so H(t)=π t−1/2=π/t, which equals G1(t)=∫Re−tx2dx by [F1] with n=1, s=t.

3.1step 2.1step 2.2F3F5algebra

[Agreement by the identity theorem] The right half-plane Ω is nonempty, open and convex (if Re⁡z1,Re⁡z2>0 then Re⁡((1−λ)z1+λz2)>0 for 0≤λ≤1), hence a complex domain, and it is contained in S, so both G1 (step 2.1) and H (step 2.2) are holomorphic on Ω. They agree at every t>0 (step 2.2), and the set (0,∞) has accumulation points in Ω; by [F5] applied to the complex domain Ω, G1=H on Ω, giving clause (b).

4.1step 3.1F4F6algebra∎

[Factorization] For z∈Ω write e−z∣x∣2=∏j=1ne−zxj2; the absolute value factors as ∏je−Re⁡(z)xj2, a product of nonnegative integrable functions of the single coordinates. Tonelli's theorem [F6] applied to the nonnegative function x↦∏je−Re⁡(z)xj2 shows that the multiple integral of ∣e−z∣x∣2∣ factorizes as the product of the one-dimensional integrals and is finite; hence x↦e−z∣x∣2 is integrable on the product, and the Fubini theorem for L1 functions (Fubini's theorem for L^1 functions on a sigma-finite product) applied to its real and imaginary parts gives Gn(z)=∏j=1nG1(z)=G1(z)n. By step 3.1, G1(z)n=(π/z)n/2 in the branch notation of [F4]. This is clause (c), and Re⁡(1+iτ)=1>0 shows the branch is defined at 1+iτ.

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