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Uniqueness of a self-decomposition remainder (MR​(t)=MX​(t)/MX​(ct))

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Probability distribution Moment-generating function
2026-10-25  0 By others on same topic  0 Discussions Create my own version
Suppose MX​ is finite on a neighborhood of zero, 0<c<1, and X is independent of each of R,R′, with cX+R and cX+R′ both having the law of a random variable X. Independence and the Tonelli theorem first give MX​(t)=MX​(ct)MR​(t) as an extended nonnegative integral. Since 0<MX​(ct)<∞ and MX​(t)<∞, both remainder moment-generating functions are finite and equal to the displayed ratio on the same neighborhood. The uniqueness theorem for moment-generating functions gives equality of their probability distributions. No independence between R and R′ is required.

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

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