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The integrands are absolutely integrable because $f$ has compact support, $g\in L^1(\mathbb{R})$, and $|{\phi }_Z|\le 1$. Fubini's theorem therefore permits us to insert ${\phi }_Z(s)=\mathbb{E}[e^{isZ}]$ and interchange the expectation and integrals:With $r=\epsilon s$, the inner integral in $s$ isNow set $t=(Z-x)/\epsilon$. The change of variables $x=Z-\epsilon t$ giveswhich is the required identity.

Choose any $g$ with $g,\hat{g}\in L^1$, $g(0)\ne 0$, and for which Fourier inversion theorem applies, for example a Gaussian function. The left side factors through the Fourier transform of $f$ asOn the right side, $f(Z-\epsilon t)\to f(Z)$ andThe dominated convergence theorem and Fourier inversion at zero giveConsequently the Fourier-cutoff recovery of expectations from a characteristic function isThe right side depends only on ${\phi }_Z$. Equal characteristic functions therefore give equal expectations for every compactly supported continuous $f$, and part a yields the uniqueness theorem for characteristic functions.