We consider a general balanced urn. For all real $x, u$ and $v$, we set, provided it exists,
$$H(x, u, v) = \sum_{n=0}^{+\infty} P_{n}(u,v) \frac{x^{n}}{n!}$$
Let $\rho > 0$. We set $D_{\rho} = ]-\rho, \rho[ \times ]0,2[^{2} = \{(x,u,v) \in \mathbb{R}^{3} ; |x| < \rho, 0 < u < 2, 0 < v < 2\}$.
Justify that, for $\rho$ sufficiently small, the function $H$ is well defined on $D_{\rho}$.