  We develop the cluster expansion and the Mayer expansion for the
self-gravitating thermal gas and prove the existence and stability of the
thermodynamic limit N, V to infty with N/V^{1/3} fixed. The essential
(dimensionless) variable is here eta = [G m^2 N]/[V^{1/3} T] (which is kept
fixed in the thermodynamic limit). We succeed in this way to obtain the
expansion of the grand canonical partition function in powers of the fugacity.
The corresponding cluster coefficients behave in the thermodynamic limit as
[eta/N]^{j-1} c_j where c_j are pure numbers. They are expressed as integrals
associated to tree cluster diagrams. A bilinear recurrence relation for the
coefficients c_j is obtained from the mean field equations in the Abel form. In
this way the large j behaviour of the c_j is calculated. This large j behaviour
provides the position of the nearest singularity which corresponds to the
critical point (collapse) of the self-gravitating gas in the grand canonical
ensemble. Finally, we discuss why other attempts to define a thermodynamic
limit for the self-gravitating gas fail.
