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

Takahiro Hasebe

Published 2010-09-08, updated 2011-01-15Version 2

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.