The famous Riemann zeta function was first introduced by Riemann in order to describe the distribution of the prime numbers. It is defined by the infinite sum

(1) |

which is absolutely convergent for all complex *s* with real part greater than one. One of the first properties of this is that, as shown by Riemann, it extends to an analytic function on the entire complex plane, other than a simple pole at . By the theory of analytic continuation this extension is necessarily unique, so the importance of the result lies in showing that an extension exists. One way of doing this is to find an alternative expression for the zeta function which is well defined everywhere. For example, it can be expressed as an absolutely convergent integral, as performed by Riemann himself in his original 1859 paper on the subject. This leads to an explicit expression for the zeta function, scaled by an analytic prefactor, as the integral of multiplied by a function of *x* over the range . In fact, this can be done in a way such that the function of *x* is a probability density function, and hence expresses the Riemann zeta function over the entire complex plane in terms of the generating function of a positive random variable *X*. The probability distributions involved here are not the standard ones taught to students of probability theory, so may be new to many people. Although these distributions are intimately related to the Riemann zeta function they also, intriguingly, turn up in seemingly unrelated contexts involving Brownian motion.

In this post, I derive two probability distributions related to the extension of the Riemann zeta function, and describe some of their properties. I also show how they can be constructed as the sum of a sequence of gamma distributed random variables. For motivation, some examples are given of where they show up in apparently unrelated areas of probability theory, although I do not give proofs of these statements here. For more information, see the 2001 paper *Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions* by Biane, Pitman, and Yor. Continue reading “The Riemann Zeta Function and Probability Distributions”