Stieltjes transformation

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Short description: Mathematical transformation

In mathematics, the Stieltjes transformation Sρ(z) of a measure of density ρ on a real interval I is the function of the complex variable z defined outside I by the formula

Sρ(z)=∫Iρ(t)dtt−z,z∈ℂ∖I.

Inverse formula

Under certain conditions we can reconstitute the density function ρ starting from its Stieltjes transformation thanks to the inverse formula of Stieltjes–Perron. For example, if the density ρ is continuous throughout I, one will have inside this interval ρ(x)=limε→0+Sρ(x+iε)−Sρ(x−iε)2iπ.

Derivation of formula

Recall from basic calculus that ∫−∞∞1x2+1dx=limx→∞arctan⁡x−limx→−∞arctan⁡x=π2−(−π2)=π. Hence f(x)=1π(x2+1)−1 is the probability density function of a distribution—a Cauchy distribution. Via the change of variables x=(t−t0)/ε we get the full family of Cauchy distributions: 1=∫−∞∞1/πx2+1dx=∫−∞∞1/π(t−t0ε)2+1dxdtdt=∫−∞∞ε/π(t−t0)2+ε2dt As ε→0+, these tend to a Dirac distribution with the mass at t0. Integrating any function ρ(t) against that would pick out the value ρ(t0). Rather integrating ∫−∞∞ε/π(t−t0)2+ε2ρ(t)dt for some ε>0 instead produces the value at t0 for some smoothed variant of ρ—the smaller the value of ε, the less smoothing is applied. Used in this way, the factor ε/π(t−t0)2+ε2 is also known as the Poisson kernel (for the half-plane).[1]

The denominator (t−t0)2+ε2 has no real zeroes, but it has two complex zeroes t=t0±iε, and thus there is a partial fraction decomposition ε/π(t−t0)2+ε2=1/2πit−(t0+iε)−1/2πit−(t0−iε) Hence for any measure μ, ∫ℝε/π(t−x)2+ε2dμ(t)=12πi∫ℝ(1t−(x+iε)−1t−(x−iε))dμ(t)=Sμ(x+iε)−Sμ(x−iε)2πi If the measure μ is absolutely continuous (with respect to the Lebesgue measure) at x then as ε→0+ that integral tends to the density at x. If instead the measure has a point mass at x, then the limit as ε→0+ of the integral diverges, and the Stieltjes transform Sμ has a pole at x.

Connections with moments of measures

If the measure of density ρ has moments of any order defined for each integer by the equality mn=∫Itnρ(t)dt,

then the Stieltjes transformation of ρ admits for each integer n the asymptotic expansion in the neighbourhood of infinity given by Sρ(z)=∑k=0nmkzk+1+o(1zn+1).

Under certain conditions the complete expansion as a Laurent series can be obtained: Sρ(z)=∑n=0∞mnzn+1.

Relationships to orthogonal polynomials

The correspondence (f,g)↦∫If(t)g(t)ρ(t)dt defines an inner product on the space of continuous functions on the interval I.

If {Pn} is a sequence of orthogonal polynomials for this product, we can create the sequence of associated secondary polynomials by the formula Qn(x)=∫IPn(t)−Pn(x)t−xρ(t)dt.

It appears that Fn(z)=Qn(z)Pn(z) is a Padé approximation of Sρ(z) in a neighbourhood of infinity, in the sense that Sρ(z)−Qn(z)Pn(z)=O(1z2n+1).

Since these two sequences of polynomials satisfy the same recurrence relation in three terms, we can develop a continued fraction for the Stieltjes transformation whose successive convergents are the fractions Fn(z).

The Stieltjes transformation can also be used to construct from the density ρ an effective measure for transforming the secondary polynomials into an orthogonal system. (For more details see the article secondary measure.)

See also

References

  1. ↑ Colbrook, Matthew J. (2021). "Computing Spectral Measures and Spectral Types". Communications in Mathematical Physics 384: 433–501. doi:10.1007/s00220-021-04072-4. 
  • H. S. Wall (1948). Analytic Theory of Continued Fractions. D. Van Nostrand Company Inc.. 

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