Uniqueness of a self-decomposition remainder

ID: uniqueness-of-a-self-decomposition-remainder

Suppose is finite on a neighborhood of zero, , and is independent of each of , with and both having the law of a random variable . Independence and the Tonelli theorem first give as an extended nonnegative integral. Since and , both remainder moment-generating functions are finite and equal to the displayed ratio on the same neighborhood. The uniqueness theorem for moment-generating functions gives equality of their probability distributions. No independence between and is required.

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