Mfcttrf

For series $sum a_n$ and $sum b_n$ their Cauchy product is the series $sum c_n$ where $c_n = a_0b_n+a_1b_n-1+...+a_nb_0$.

Does there exist a sequence $sum a_n$ such that:

1. 
   $sum a_n$ is divergent


2. The Cauchy product of $ sum a_n$ and $sum a_n$ is convergent

Let $c_0=1$, $c_1=-2$, $c_n=0$ for $n>1$.
Let $a_0=1$, and for $nge1$ recursively
$$a_n=frac12left(c_n-sum_k=1^ n-1a_ka_n-k right).$$
Then clearly $sum c_n=sum a_ncdot sum a_n$ in the sense of Cauchy product, and $sum c_n$ is of course very convergent.
Assume $sum a_n$ converges. Then $sum a_n x^n$ converges absolutely on $(-1,1)$. By absolute convergence, $sum c_n x^n=(sum a_n x^n)^2$ for $|x|<1$, which is absurd as $sum c_n x^n<0$ for $x>frac12$.

Without lost of generality, assume $a_0 neq 0$. One proves that the Cauchy relations $c_n = sum_j=0^n a_j a_n-j$ are equivalent to
$$ a_n = frac12a_0left(c_n - sum_j=1^n-1 a_j a_n-j right) , .$$
Multiplying $sum_n a_n$ by an overall constant if necessary, we can assume that $2a_0 = 1$. It follows that $c_0 = 1/4$ and that $c_1 = a_1$.

Let's consider the case when $c_n = 0$ for $n ge 2$, so that $sum_n c_n = 1/4 + c_1$ is convergent. It is easily proved by induction on $n ge 1$ that there exist positive integers $A_n$ such that $a_n = (-1)^n-1A_n c_1^n$. Therefore, whenever $|c_1| ge 1$, the limit $lim_nto infty a_n$ is not $0$ (if it exists at all), and so the series $sum_n a_n$ diverges.

Remark: In fact, based on John's answer, $A_n+1 = C_n = frac1n+1 2n choose n$ is the $n$-th Catalan number; Stirling's approximation allows to estimate $A_n+1 sim frac4^nsqrtpi n^1/2(n+1)$, so that the above construction works if (and only if) $|c_1| > 1/4$.

I managed to find a construction.

Put $a_0 = frac12$, $a_n = (-1)^n-1C_n-1x^n$ for $n=1,2,3,...$ where $C_n$ is the n-th Catalan number.

So that $sum a_n = frac12 + x -x^2+2x^3-5x^4+14x^5-42x^6+...$

For $n geq 2 $ we have:

$c_n = [(-1)^n-1C_n-1 - (-1)^n-2(C_0C_n-2 + C_1C_n-3+...+C_n-2C_0)]cdot x^n$

Using the known formula: $C_n = C_0C_n-1+C_1C_n-2+...+C_n-1C_0$

We have $c_n$ =0

So $sum c_n = frac14 + x + 0 +0 + ...$ which obviously converges. Now putting $x=1$ we found the required series. ($sum a_n$ diverges because $C_n$ doesn't tend to 0 as $n to infty$)

Let $f(x)=sum_n=0^infty a_nx^n$ be the (binomial) Taylor series for the function $sqrt1+x$. Then:

1) This power series has radius of convergence $1$, so the series $f(2)=sum_n=0^infty a_n2^n$ diverges.

2) On the interval $(-1,1)$, we have $f(x)f(x)=1+x$ pointwise, and so the Cauchy product of $f(x)$ with itself must be the formal power series $1+x+0x^2+0x^3+dots$. In particular, this means that the Cauchy product of $f(2)$ with itself is the series $1+2+0+0+dots$.

(This is essentially the same example as in all the other answers, but I feel like this is an easier way to come to it. We could replace $1+x$ with any other holomorphic function whose square root is not holomorphic on its entire domain.)