Fourier series with "Riemann" coefficients Consider the sum (which is a Fourier series and a Dirichlet series):
$$F(x)=\sum_{n=1}^{\infty} n^{-s} \cos(2 \pi n x)$$
For $\Re(s)>1$ we have (thanks to absolute convergence) $\lim_{x \to 0} F(x)=\zeta(s)$ but does this holds for $0<\Re(s)<1$ ?
I am sure this is more than well known but I did not find it on internet, and as a simple Poisson summation formula does not answer the question, it is not completely easy, any reference ?
 A: We shall see that the limit of $F(x)$ does not exist as $x\rightarrow 0^+$ for $0<s<1$. The following lemma follows from $$\cos(2\pi nx)\sin \pi x = \frac12 \left[ \sin \pi x(2n+1)-\sin \pi x(2n-1)\right]$$
and the telescoping sum. 
Lemma 1

Let $t\ge 1$ and $x>0$. Then 
  $$
A_t=\sum_{n\leq t} \cos (2\pi n x)  =\frac{\sin\pi x(2\lfloor t\rfloor +1)-\sin\pi x}{2\sin \pi x}.
$$

By partial summation, we have
Lemma 2

Let $x>0$ and $0<s<1$. Then
  $$
\sum_{n=1}^{\infty} \frac{\cos 2\pi nx}{n^s}=s\int_1^{\infty} \frac{A_t}{t^{s+1}}dt=-\frac12+s\int_1^{\infty} \frac{\sin\pi x(2\lfloor t\rfloor +1)}{2t^{s+1}\sin \pi x} dt.
$$

We replace $\sin\pi x(2\lfloor t \rfloor +1)$ by $\sin 2\pi x t$ at a cost of a uniformly bounded function. By change of variable $x t = u$, we have 
Lemma 3

Let $x>0$ and $0<s<1$. Then there are uniformly bounded functions $B_1(s,x)$ and $B_2(s,x)$  such that 
  $$
\sum_{n=1}^{\infty} \frac{\cos 2\pi nx}{n^s}=B_1(s,x)+\frac s{1-s}B_2(s,x)+\frac{x^s}{2\sin \pi x} s\int_0^{\infty} \frac{\sin 2\pi u}{u^{s+1}}du.$$

By the integral in this post: I'm looking for several ways to prove that $\int_{0}^{\infty }\sin(x)x^mdx=\cos(\frac{\pi m}{2})\Gamma (m+1)$
we have an expression for the integral. 
Lemma 4

For $0<s<1$, we have
  $$
s\int_0^{\infty} \frac{\sin 2\pi u}{u^{s+1}}du=(2\pi)^s \Gamma(1-s)\sin \frac{\pi s}2
$$

Back to the main problem, we have
Theorem

For $x>0$ and $0<s<1$, and the uniformly bounded functions $B_i(s,x)$ the same as above lemma, we have
  $$
\sum_{n=1}^{\infty} \frac{\cos 2\pi nx}{n^s}=B_1(s,x)+\frac s{1-s}B_2(s,x) + \frac{x^s}{2\sin \pi x} (2\pi)^s \Gamma(1-s)\sin \frac{\pi s}2.
$$

Therefore, for a fixed $0<s<1$, the limit of $F(x)$ as $x\rightarrow 0^+$ does not exist. 
