Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2011/ii/paper-1/14e/i/solution

Extend by zero to and apply the assumed Fourier inversion theorem. For sufficiently regular, decaying data and this gives , with . If , the exponential in this last integral is bounded in magnitude by one; it defines a holomorphic transform in the lower half-plane, with its boundary values on the real axis.
The PDF orients from down to zero, then from zero to . The function is holomorphic in the upper half-plane, and for its exponential decays there. Close the two rays through a large first-quadrant arc. Cauchy integral theorem and Jordan lemma give
For example, if are integrable, integration by parts gives in that quadrant, which suffices for the arc estimate. Standard limiting arguments extend the identity to the admissible Fourier-inversion class. Adding any constant multiple of this zero integral to ordinary inversion proves
The extra integral is a reflected, zero-supported contribution, not an extra datum.

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