I would like to obtain an expression for the function $$g(s, \theta) = \sum_{n=1}^{\infty} \frac{\cos(n \theta)}{n^{s}} \qquad (\#).$$
Here is what I've tried so far: we know from the definition of the Dirichlet convolution that $ (E*I_{1})(n) = \sigma_{1}(n). $ Here, $E(n) = 1$ for all $n$, $I_{a}(n) = n^{a}$ and $\sigma_{1}$ is the sum-of-divisors function. Now, instead of filling in numbers in these functions, I proceed with using functions as arguments. In particular, the Chebyshev polynomials of the first kind are relevant. Let $T_{n}(s)$ be the $n$'th Chebyshev polynomial of the first kind.
Then, I think: $(E*I_{1})(T_{n}(s)) = \sigma(T_{n}(s))$, where $E(\cdot)$ sends all polynomials to $1$, $I_{1}(\cdot)$ is the identity function for polynomials, and $\sigma_{1}(\cdot)$ is the sum of all polynomial divisors of its argument.
Question 1: is the equality $(E*I_{1})(T_{n}(s)) = \sigma(T_{n}(s))$ correct?
If we suppose it is, then I'd go on as follows: \begin{align*}L_{(E*I_{1})} (T_{n}(\cos(\theta))) &= L_{E} (T_{n}(\cos(\theta))) \cdot L_{I_{1}} (T_{n}(\cos(\theta))) \\ &= \zeta(s) \cdot g(s,\theta) = L_{\sigma}(\cos(n \theta)) . \end{align*}
Then I though of using an infinite product expression for $\cos(n \theta)$, in order to compute the sum of its polynomial divisors. An article like this one could come in handy, perhaps.
Question 2 Do you think this approach for finding $g(\cdot)$ as mentioned in $(\#)$ could work?
Question 3 Is there another method to obtain an expression for $g(\cdot)$ ? For instance, I think this paper could be very useful, but I'm not entirely sure how to apply their $\bigodot$ operator, and how it relates to the regular dirichlet convolution.
I am not sure that this could help.
Using $$\sum_{n=1}^\infty\frac {e^{i n \theta}} {n^s}=\text{Li}_s\left(e^{i \theta}\right)$$ we have $$g(s, \theta) = \sum_{n=1}^{\infty} \frac{\cos(n \theta)}{n^{s}}=\frac{1}{2} \left(\text{Li}_s\left(e^{-i \theta }\right)+\text{Li}_s\left(e^{i \theta }\right)\right)$$ where appears the polylogarithm function.