Characteristic Functions

Abstract

It often arises in mattiematics ttiat one can solve problems and/or obtain properties of mathematical objects by “transforming” them into another space, solving the problem there, and then transforming the solution back. Two of the most important transforms are the Laplace transform and the Fourier transform. While these transforms are widely used in the study of differential equations, they are also extraordinarily useful for the study of Probability. They can be used to analyze random variables (e.g., to compute their moments), and they can be used to give short and elegant proofs of the Central Limit Theorem (see Chapter 21). The Fourier transform is the more sophisticated of the two, and it is also the most useful.