For which real numbers $p>0$ does the series $$\sum_{n=1}^{\infty} \frac{\cos(n^p \pi)}{n^p}$$ converge?
Obviously it converges absolutely for $p>1$ but what about $0<p<1$? I have the feeling that something qualitative happens at $p=1/2$.
Help wanted, thanks.
We restrict our attention to the case $0 < p < 1$, since the answer is well-known for $p \geq 1$. Using the Riemann-Stieltjes integral, we can rewrite the partial sum as
$$ \sum_{k=1}^{n} \frac{\cos (\pi k^{p})}{k^{p}} = \int_{1^{-}}^{n} \frac{\cos \pi x^{p}}{x^{p}} d [x] = \int_{1^{-}}^{n^{p}} \frac{\cos \pi x}{x} d [x^{1/p}]. \tag{1} $$
Using the periodic Bernoulli polynomials $B_{m}(x)$, we have
$$ \sum_{k=1}^{n} \frac{\cos (\pi k^{p})}{k^{p}} = - \int_{1^{-}}^{n^{p}} \frac{\cos \pi x}{x} d B_{1}(x^{1/p}) + \int_{1}^{n^{p}} \frac{\cos \pi x}{x} \, d(x^{1/p}) =: I_{n} + J_{n}. $$
Step 1. Note first that
$$ J_{n} = \frac{1}{p} \int_{1}^{n^{p}} \frac{\cos \pi x}{x^{2-(1/p)}} \, dx. $$
This converges as $n \to \infty$ if and only if $2-(1/p) > 0$, or equivalently, $p > 1/2$. Indeed,
Step 2. Now we look into the term $I_{n}$. Integration by parts shows that
$$ I_{n} = - \left[ \frac{\cos \pi x}{x} B_{1}(x) \right]_{1^{-}}^{n^{p}} - \int_{1}^{n^{p}} \left( \frac{\pi \sin \pi x}{x} + \frac{\cos \pi x}{x^{2}} \right) B_{1}(x^{1/p}) \, dx. $$
Here, the only term whose convergence is unclear is
$$ \int_{1}^{n^{p}} \frac{\pi \sin \pi x}{x} B_{1}(x^{1/p}) \, dx = p \pi \int_{1}^{n} \frac{\sin (\pi x^{p})}{x} B_{1}(x) \, dx. $$
Introducing the function
$$ C(x) = -\int_{x}^{\infty} \frac{B_{1}(t)}{t} \, dt = \mathcal{O}\left( \frac{1}{x} \right), $$
it follows that
$$ p \pi \int_{1}^{n} \frac{\sin (\pi x^{p})}{x} B_{1}(x) \, dx = p \pi \left[ \sin (\pi x^{p}) C(x) \right]_{1}^{n} - p^{2}\pi^{2} \int_{1}^{n} x^{p-1} \cos(\pi x^{p}) C(x) \, dx, $$
which converges absolutely as $n \to \infty$. Putting together, $I_{n}$ converges for any $0 < p < 1$ and therefore the sum (1) converges if and only if $p > 1/2$.
Remark. We have the same answer if cosine is replaced by sine.
Remaining questions.