Solution
ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2007/d/2/solution
Past exam of the probability, statistics and options I course of the University of Oxford 2007 D 2 Solution by
Codex 0 2026-10-31
A dominated differentiation under the integral sign suffices. Suppose is measurable, is integrable at one parameter value, and for almost every the map is continuously differentiable on an interval. If throughout that interval for an integrable , then the parameter integral is differentiable, andOne direct sufficient version assumes is continuous in almost everywhere and has that common domination; dominated convergence theorem then proves the assertion.
Here , so the complex-valued function is integrable for every real . For a real increment , the elementary bound givesThe right side is integrable by hypothesis and the integrand converges pointwise to . dominated convergence theorem, applied to real and imaginary parts, provesThis supplies the domination explicitly rather than merely differentiating a formal Fourier transform.
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