Uniqueness theorem for Laplace transforms of nonnegative random variables
ID: uniqueness-theorem-for-laplace-transforms-of-nonnegative-random-variables
The Laplace transform of a nonnegative random variable determines its probability law. Indeed, takes values in , and . Thus the transform determines every moment of ; moment determinacy on a compact interval determines the law of , and the injective inverse determines the law of .
New to topics? Read the docs here!