
15.2.35 One dimensional random variables and their characteristics
Problem:
Let \( \xi \) is a random variable with a symmetrical distribution. Let's substitute
\[
\eta=\left\{\begin{array}{l}
\xi, \text { when }|\xi| \leq c \\
0, \text { when }|\xi|>c
\end{array}, c>0 .\right.
\]
Let's denote \( f(t) \) and \( g(t) \) are the characteristic functions of \( \xi \) and \( \eta \) respectively. Prove that there will be such \( \varepsilon>0 \), that \( f(t) \leq g(t) \), when \( |t| \leq \varepsilon \).