Prove that if (F(x)) is a distribution and (f(t)) the corresponding characteristic function, then for any value

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Prove that if \(F(x)\) is a distribution and \(f(t)\) the corresponding characteristic function, then for any value of \(x\) the equation

\[ \lim _{T \rightarrow \infty} \frac{1}{2 T} \int_{-T}^{T} f(t) e^{-i t x} d t=F(x+0)-F(x-0) \]

holds.

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Theory Of Probability

ISBN: 9781351408585

6th Edition

Authors: Boris V Gnedenko

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