March 28 2016 : In our discussion of the inversion formula for characteristic functions we used Lemma 11.1.3. This integral is also known as
the Dirichlet integral.
The proof in Rosenthal uses a change of order of iterated integration. This argument needs care. An alternative to evaluating this integral
is based on complex integration and Cauchy's integral formula. An article that is available online dealing with this and evaluates the Dirichlet
integral is http://www.math.harvard.edu/~knill/teaching/residues_1996/residue.pdf See page3 and 4