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Complex Gaussian continuation
Statement
Assume the Axiom of Countable Choice (The Axiom of Countable Choice ()). For with and let
where 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 of these finite Lebesgue integrals. For it also equals the sum of the two separately convergent one-sided improper Riemann integrals at , computed componentwise (Improper integrals over unbounded intervals); this agreement is proved below. Then:
(a) converges absolutely for every with , and is holomorphic on the right half-plane with (Complex differentiability at a point, the complex derivative, holomorphic functions, and entire functions, A complex domain is a nonempty connected open subset of );
(b) with the principal logarithm and the branch 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),
the value on the positive real axis being for ;
(c) for every and , , the power being the branch .
In particular the factor is defined by this branch for every real , since . No asymptotic or distributional interpretation is asserted.
Facts & Assumptions
Given: ; a complex parameter with ; the functions of the Statement; the principal logarithm .
For , and , ; at this reads , and substituting gives . Every polynomial times a positive real Gaussian is absolutely integrable (Euclidean Gaussian transform with the 2π normalization).
On a fixed measure space, if measurable complex-valued satisfy almost everywhere and almost everywhere for one nonnegative measurable with , then (Dominated convergence). For a parameter , apply this to each sequence of nonzero parameters tending to zero.
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 ).
The principal logarithm is holomorphic on the slit plane , satisfies and with , and for ; complex powers are defined by (Complex logarithms, the principal logarithm, and principal and multivalued complex powers, The principal logarithm is the normalised holomorphic branch on the slit plane).
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).
Tonelli's theorem: for a product-measurable nonnegative function on a -finite product, the iterated and double integrals agree (Tonelli's theorem for nonnegative measurable functions on a sigma-finite product).
For continuous with , the improper multiple integral used here is , with finite Lebesgue integrals computed componentwise. Dominated convergence (Dominated convergence) applied to identifies this limit with the product Lebesgue integral: for any sequence the indicators tend pointwise to and are dominated by , hence every such sequence has the same limit. For , the real and imaginary parts are bounded and Riemann integrable on every compact interval by A continuous function on 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 as and as therefore proves convergence of both one-sided improper integrals of Improper integrals over unbounded intervals; the same argument for proves absolute convergence. Their sum is the full integral because the overlap has Lebesgue measure zero. Existence of a symmetric limit alone does not imply this agreement.
Proof
[Absolute convergence] Let and . For every , , whose integral over is finite by [F1] with ; hence the real and imaginary parts of are absolutely improperly integrable and is well defined by [F7]. The same bound holds uniformly on compact subsets of , where can be taken positive uniformly.
[Holomorphy of ] Fix and ; let . For the function the second-order Taylor remainder satisfies (the power series of has its first term and the remaining terms are bounded by ). Applying this with gives for all real and all , and has finite integral; the remainder functions are continuous, hence measurable, converge pointwise to zero, and for are dominated by the nonnegative integrable function . By [F2] along every sequence , their integrals over tend to zero. Thus the difference quotient tends, as , to . Hence is complex differentiable at every , with the displayed derivative; by [F3] it is holomorphic on .
[The candidate branch] Put for in the slit plane . By [F4], is holomorphic on with , and the complex exponential is entire with derivative itself, so by the chain rule for complex derivatives is holomorphic on the complex domain (The chain rule for complex derivatives, The complex exponential is entire and its complex derivative is itself); also because . On the positive axis, [F4], so , which equals by [F1] with , .
[Agreement by the identity theorem] The right half-plane is nonempty, open and convex (if then for ), hence a complex domain, and it is contained in , so both (step 2.1) and (step 2.2) are holomorphic on . They agree at every (step 2.2), and the set has accumulation points in ; by [F5] applied to the complex domain , on , giving clause (b).
[Factorization] For write ; the absolute value factors as , a product of nonnegative integrable functions of the single coordinates. Tonelli's theorem [F6] applied to the nonnegative function shows that the multiple integral of factorizes as the product of the one-dimensional integrals and is finite; hence is integrable on the product, and the Fubini theorem for functions (Fubini's theorem for L^1 functions on a sigma-finite product) applied to its real and imaginary parts gives . By step 3.1, in the branch notation of [F4]. This is clause (c), and shows the branch is defined at .
Depends on
Euclidean Gaussian transform with the 2π normalization
Dominated convergence
Complex differentiability at a point, the complex derivative, holomorphic functions, and entire functions
A complex domain is a nonempty connected open subset of
Complex logarithms, the principal logarithm, and principal and multivalued complex powers
The principal logarithm is the normalised holomorphic branch on the slit plane
The chain rule for complex derivatives
The complex exponential is entire and its complex derivative is itself
Identity theorem for holomorphic functions
Tonelli's theorem for nonnegative measurable functions on a sigma-finite product
Fubini's theorem for L^1 functions on a sigma-finite product
Improper integrals over unbounded intervals
A continuous function on is Riemann integrable, by Heine-Cantor and Riemann's criterion
A bounded Riemann integrable function on a closed bounded interval is Lebesgue measurable and has the same integral
The Axiom of Countable Choice ()