Past exam of the mathematics course of the University of Cambridge / 2014 / ia / Paper 2 / 10F (Probability)

For $\lambda \ge 0$, a Poisson distribution has mass $\mathbb{P}(X=k)=e^{-\lambda }{\lambda }^k/k!$ for $k=0,1,\dots$; at $\lambda =0$ it is concentrated at zero. Its moment-generating function isFor independent $X,Y$, the moment-generating function of their sum is the product, $\exp [(\lambda +\mu )(e^s-1)]$. Uniqueness of the moment-generating function near zero therefore gives $X+Y\sim \mathrm{Poisson}(\lambda +\mu )$. Repeating the argument gives $S_n={\sum }_{i=1}^n{X}_i\sim \mathrm{Poisson}(n)$ when every parameter is one.

The displayed sequence is $a_n=\mathbb{P}(S_n\le n)$. The classical central limit theorem states that independent identically distributed variables with finite mean $m$ and nonzero finite variance ${\sigma }^2$ have standardized sum $(S_n-nm)/(\sigma \sqrt{n})$ converging in distribution to the standard normal distribution. Here $m={\sigma }^2=1$, soConvergence of the distribution functions at the continuity point zero justifies the last step. This is the Poisson cumulative probability at its growing mean.