Past exam of the probability course of the University of Oxford / 2023 / 2 / c / ii

Fix $|t|<t_0$. Since $|ct|<t_0$, $0<M_X(ct)<\infty$. Using independence of random variables and the Tonelli theorem for the positive exponential integrands gives the extended-real identityThe left side is finite and the first factor is finite and strictly positive. Consequently $M_R(t)$ is finite andThe same reasoning applies to $R^{\prime }$, so their moment-generating functions are finite and equal throughout $(-t_0,t_0)$. The uniqueness theorem for moment-generating functions yieldsThis proves uniqueness of a self-decomposition remainder while also checking the required finiteness; no independence between $R$ and $R^{\prime }$ is needed.