I found some neat stuff in Remmert's Classical topics in complex function theory.
Fabry's gap theorem gives a way to construct many examples including some already mentioned. Stated for the unit disk, it says:
If m1,m2,ldots is a sequence of positive integers such that displaystylelimntoinftyfracmnn=infty and if displaystylef(z)=sumin=1nftyanzmn has radius of convergence 1, then the unit disk is the domain of holomorphy of f.
For example, if pn is the nth prime, then f(z)=sumin=1nftyfraczpnn2
An interesting result that yields many such functions in a nonconstructive way is a theorem of Fatou-Hurwitz-Pólya:
If displaystylef(z)=sumin=0nftyanzn has radius of convergence 1, then the set of functions fepsilon(z)=sumin=0nftyepsilonnanzn
for epsilonninpm1 whose domain of holomorphy is the unit disk has cardinality 2aleph0.
Hausdorff showed further that if displaystylelimntoinfty|an|1/n exists (and equals 1) then the set of such functions whose domain of holomorphy is not the unit disk is at most countable. This applies in particular to the function displaystylef(z)=sumin=1nftyfracznn2, which therefore yields examples by changing the signs of the coefficients in all but countably many ways.
One more, this time an explicit example from Remmert: The series f(z)=1+2z+sumin=1nftyfracz2n2n2
Reference: Remmert's Classical topics in complex function theory, pages 252-258. (Fatou-Hurwitz-Pólya is stated on a page without preview.)
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