# Multiplication Property of Characteristic Functions It has been suggested that this article or section be renamed. One may discuss this suggestion on the talk page.

## Theorem

Let $X$ and $Y$ be independent random variables on a probability space $\left({\Omega, \Sigma, \Pr}\right)$.

Let $\phi_X$ and $\phi_Y$ denote the characteristic functions of $X$ and $Y$ respectively.

Then:

$\phi_{X + Y} = \phi_X \phi_Y$

## Proof

Let $i = \sqrt{-1}$.

Let $E$ be the expectation operator.

 $\displaystyle \phi_{X + Y} \left({t}\right)$ $=$ $\displaystyle E \left({e^{i t \left({X + Y}\right)} }\right)$ Definition of Characteristic Function $\displaystyle$ $=$ $\displaystyle E \left({e^{i t X} e^{i t Y} }\right)$ $\displaystyle$ $=$ $\displaystyle E \left({e^{ i t X} }\right) E \left({e^{ i t Y} }\right)$ Functions of Independent Random Variables are Independent, Expected Value of Product is Product of Expected Value $\displaystyle$ $=$ $\displaystyle \phi_X \left({t}\right) \phi_Y \left({t}\right)$

Hence:

$\phi_{X + Y} = \phi_X \phi_Y$

$\blacksquare$