We provide a comprehensive analysis of matrix–valued Herglotz functions and illustrate their applications in the spectral theory of self–adjoint Hamiltonian systems including matrix–valued Schrödinger and Dirac–type operators. Special emphasis is devoted to appropriate matrix–valued extensions of the well–known Aronszajn–Donoghue theory concerning support properties of measures in their Nevanlinna–Riesz–Herglotz representation. In particular, we study a class of linear fractional transformations MA(z) of a given n × n Herglotz matrix M(z) and prove that the minimal support of the absolutely continuous part of the measure associated to MA(z) is invariant under these linear fractional transformations.
Additional applications discussed in detail include self–adjoint finite–rank perturbations of self–adjoint operators, self–adjoint extensions of densely defined symmetric linear operators (especially, Friedrichs and Krein extensions), model operators for these two cases, and associated realization theorems for certain classes of Herglotz matrices.