 Solution

For fixed $\theta$, Taylor expansion at zero gives $e^h-1-h=h^2/2+O(h^3)$. With $h=\theta /\sqrt{\lambda t}$, the logarithm of the moment generating function tends to ${\theta }^2/2$. Thus $M_{U_t}(\theta )\to e^{{\theta }^2/2}$ on a neighborhood of zero. The continuity theorem for moment generating functions identifies the limit asThis is the centered Poisson normal limit with its exact variance scaling.