A note on analytic continuation of characteristic functions

Abstract

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

6 pages