I'm studying complex analysis and learned a bit about this interesting function: $$ \Theta (z|\tau)=\sum_{n=-\infty}^{\infty}e^{\pi in^2\tau}e^{2\pi i n z}$$ for $\operatorname{Im}\tau>0$.
Before asking my question, let me introduce one of view points on this function first.
For any reasonable sequence $\left\{a_n\right\}_{n=-\infty}^{\infty}$, there is a function on the circle $F(e^{i\theta})=\sum_{n=-\infty}^{\infty}a_ne^{in\theta}$. We then ask whether this function can be holomorphically extended to an annulus around the unit circle in the plane $\mathbb{C}$. The result is the Laurent series $f(w)=\sum_{n=-\infty}^{\infty}a_nw^{n}$ whose restriction on $|w|=1$ is the original function $F$. This step is possible only if $a_n=O(r^{|n|})$ for some $0<r<1$, i.e., the sequences $a_n$ has at least an exponential decay as $|n| \to \infty$.
After obtained the function $f$, we then use the covering map $z \mapsto w=e^{2\pi i z}$ to full it back, making annulus into straight lines parallel to the x-axis.
The above $\Theta$ is obtained from the sequence $a_n=e^{\pi i n^2 \tau}$, which has very rapid decay(faster than any exponential) so that $\Theta$ is defined on the whole $z$-plane.
But you must agree that this approach is too formal and has no insight at all.
How would you explain this function? Is it a fundamental solution to a PDE in two complex variables? (If so, I also want to know where the differential equation comes from!)
Thanks.