D4

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/d/d4

A sufficient differentiation theorem is the following local version. Suppose is integrable, is continuously differentiable for almost every , and for each compact parameter interval there is an integrable bounding uniformly there. Then . The mean value theorem bounds the difference quotients by , and dominated convergence proves the formula. Integrability at one parameter value together with the derivative bound also suffices locally.

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