Let I have a function $f(x|y)$ is holomorphic (and Analytic in the complex plane) where $y$ is deterministic and $x,y\in C$.
In this part $y$ is no more determinstic. $h$ is a random variable; both real part $ \Re (y)$ and imaginary part $\Im (y)$ is gaussian distributed random variable with mean $\mu$ and variance $\sigma^2$. Now let define a new function $g(x,y)$ such that,
$g(x,y)=E[f(x|y)]$
Where $E[.]$ is the expectation operation. My question is
- Is $g(x,y)$ analytic on the entire complex plane of $X$?
Can I prove it? Any hints or suggestions will be helpful (I am new in analysis).