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arxiv: math/0410459 · v3 · submitted 2004-10-21 · 🧮 math.PR · math.OA

Taylor expansions of R-transforms, application to supports and moments

classification 🧮 math.PR math.OA
keywords provemeasureevenmomentonlyorderprobabilityr-transform
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We prove that a probability measure on the real line has a moment of order p (even integer), if and only if its R-transform admits a Taylor expansion with p terms. We also prove a weaker version of this result when p is odd. Then, we apply this to prove that a probability measure whose R-transform extends analytically to a ball with center zero is compactly supported, and that a free infinitely divisible distribution has a moment of order p even, if and only if its Levy measure does so. We also prove a weaker version of the last result when p is odd.

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