How statement and proof provenance work
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These labels describe origin, not correctness: citations and verification chips remain separate evidence.
Characteristic function of the uniform law
Example
Assume AC. For , the uniform law with density has characteristic function The displayed quotient has the indicated continuous extension at zero.
Facts & Assumptions
Given: The hypotheses and conventions in the example.
The transform is the componentwise exponential integral. Characteristic function of a real random variable.
A continuous integrable derivative is evaluated by its primitive. The second fundamental theorem: if is differentiable on with and is integrable, then .
The compact Riemann and Lebesgue integrals agree under countable choice. A bounded Riemann integrable function on a closed bounded interval is Lebesgue measurable and has the same integral.
AC supplies countable choice for the bridge and compact continuous integration. The Axiom of Choice.
A nonnegative measurable density defines a measure. The indefinite integral of a nonnegative measurable function is a measure.
The sine and cosine primitives follow from their derivatives. The derivatives of sine and cosine are cosine and minus sine.
Composing with x mapsto tx multiplies a derivative by t. The chain rule, in one line from Carathéodory: if is differentiable at and is differentiable at , then is differentiable at with .
A nonnegative test against a density integrates its product. Integrating against a density agrees with integrating the product.
The transform is continuous and equals one at zero. Basic properties of characteristic functions.
Verification
The nonnegative Borel density defines a measure, and its mass is . The primitive and the integral bridge give this normalization. The density integration identity, applied to positive and negative parts of cosine and sine, yields ; all four parts are integrable because the interval is finite and their absolute values are at most one.
For , the primitives are for cosine and for sine, by the chain rule. Their derivatives are continuous on , so FTC and the bridge give At the integral of the constant one equals one. Continuity of characteristic functions then proves the claimed extension. The endpoints of have zero density measure, so using an open or half-open interval gives the same law. The hypothesis prevents division by zero; when this density is not defined, though the distinct Dirac law at has transform . The stated AC is spent on the compact integration bridge and its continuous-integrand prerequisites.
Depends on
- Characteristic function of a real random variable
- The second fundamental theorem: if $G$ is differentiable on $[a,b]$ with $G' = f$ and $f$ is integrable, then $\int_a^b f = G(b)-G(a)$
- A bounded Riemann integrable function on a closed bounded interval is Lebesgue measurable and has the same integral
- The Axiom of Choice
- The indefinite integral of a nonnegative measurable function is a measure
- The derivatives of sine and cosine are cosine and minus sine
- The chain rule, in one line from Carathéodory: if $g$ is differentiable at $c$ and $f$ is differentiable at $g(c)$, then $f \circ g$ is differentiable at $c$ with $(f \circ g)'(c) = f'(g(c))\,g'(c)$
- Integrating against a density agrees with integrating the product
- Basic properties of characteristic functions
Used by
Nothing in the library uses this result yet.
Dependency tree · two levels
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Sources
- Durrett, Probability: Theory and Examples, fifth edition (standard reference, not scraped)
- Norris, Probability and Measure (standard reference, not scraped)