CAUCHY TRANSFORMS OF MEASURES VIEWED AS SOME
FUNCTIONALS OF FOURIER TRANSFORMS
Abstract: The Cauchy transform of a positive measure plays an important role in
complex analysis and more recently in so-called free probability. We show here
that the Cauchy transform restricted to the imaginary axis can be viewed as the
Fourier transform of some corresponding measures. Thus this allows the full use of
that classical tool. Furthermore, we relate restricted Cauchy transforms to classical
compound Poisson measures, exponential mixtures, geometric infinite divisibility and
free-infinite divisibility. Finally, we illustrate our approach with some examples.
2000 AMS Mathematics Subject Classification: Primary: 60E10, 46LS4; Secondary:
42B10, 30E05.
Key words and phrases: Cauchy transform, Fourier transform, Laplace transform,
compound Poisson distribution, Lévy process, random integral, infinitely divisible measures,
geometric infinitely divisible measures, Voiculescu transform, free-infinitely divisible
measures.