Past exam of the Probability, statistics and options II course of the University of Oxford / 2011 / D / D3 / b / i / Solution

Let $H_0={\int }_0^{\pi }|h(u)|du<\infty$. On each period, substitute $x=j\pi +u$ and use periodicity:Summing over $j\ge 0$ gives the convergent geometric boundMeasurability is preserved under multiplication by the exponential, so this proves Lebesgue integrability.