Stieltjes transformation

If the measure of density ρ has moments of any order defined for each integer by the equality

${\displaystyle m_{n}=\int _{I}t^{n}\,\rho (t)\,dt,}$

then the Stieltjes transformation of ρ admits for each integer n the asymptotic expansion in the neighbourhood of infinity given by

${\displaystyle S_{\rho }(z)=\sum _{k=0}^{n}{\frac {m_{k}}{z^{k+1}}}+o\left({\frac {1}{z^{n+1}}}\right).}$

Under certain conditions the complete expansion as a Laurent series can be obtained:

${\displaystyle S_{\rho }(z)=\sum _{n=0}^{\infty }{\frac {m_{n}}{z^{n+1}}}.}$

The correspondence ${\displaystyle (f,g)\mapsto \int _{I}f(t)g(t)\rho (t)\,dt}$ defines an inner product on the space of continuous functions on the interval I.

If {P_n} is a sequence of orthogonal polynomials for this product, we can create the sequence of associated secondary polynomials by the formula

${\displaystyle Q_{n}(x)=\int _{I}{\frac {P_{n}(t)-P_{n}(x)}{t-x}}\rho (t)\,dt.}$

It appears that ${\displaystyle F_{n}(z)={\frac {Q_{n}(z)}{P_{n}(z)}}}$ is a Padé approximation of S_ρ(z) in a neighbourhood of infinity, in the sense that

${\displaystyle S_{\rho }(z)-{\frac {Q_{n}(z)}{P_{n}(z)}}=O\left({\frac {1}{z^{2n}}}\right).}$

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 F_n(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.)

• Orthogonal polynomials
• Secondary polynomials
• Secondary measure

• H. S. Wall (1948). Analytic Theory of Continued Fractions. D. Van Nostrand Company Inc.