I have a problem with this exercise:
Let $(X_{n})_{n ∈ \mathbb{N}}$ be a sequence of independent, identically distributed, real-valued random variables whose distribution function is absolutely continuous with density: $f_{X_{n}}(x) = \frac{1}{π(1+x^2)}$.
I have to show that $ϕ_{X_1}(u) =e^{−|u|}, ∀u ∈ \mathbb{R}$ is the characteristic function of $f_{X_1}$
I know that a characteristic function is really the characteristic function of distribution fuction when it applies:
$f_X(x)=\frac{1}{2\pi}\int_{- \infty}^{\infty}e^{-itx}ϕ(t)dt$
So I have inserted what I have in the equation:
$f_X(x)=\frac{1}{2\pi}\int_{- \infty}^{\infty}e^{-itx}e^{-|t|}dt$
But now i don't know how to continue, can someone help me?