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Let $X$ be a real random variable and $\phi$ its characteristic function. Show that there exist real $a,b$ such that $P\left(X \in a+b\mathbb{Z} \right) = 1$ if and only if there exists a nonzero $x$ such that $\left|\phi(x)\right| = 1$.

Any ideas or hints would be appreciated. Thanks.

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    Any attempt would be appreciated.2012-12-04

1 Answers 1

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You can start with this : according to the triangle inequality, $|\phi(\theta)| \leq E(|e^{i\theta X}|)=1$ with equality if and only if there exists $u \in \mathbb{C}$ with $|u|=1$ such that $e^{i\theta X} = u$ a.e.