Effective estimation of some oscillatory integrals related to infinitely divisible distributions

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We present a practical framework to prove, in a simple way, two-term asymptotic expansions for Fourier integrals $$\begin{aligned} {{\mathcal {I}}}(t) = \int _{{\mathbb {R}}}(\mathrm{e}^{it\phi (x)}-1) \mathop {}\!\mathrm {d}\mu (x), \end{aligned}$$where \(\mu \) is a probability measure on \({{\mathbb {R}}}\) and \(\phi \) is measurable. This applies to many basic cases, in link with Levy’s continuity theorem. We present applications to limit laws related to rational continued fraction coefficients.