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This paper proves a probabilistic version of Taylor's theorem \begin{equation*} \mathbb{E}g(X) = \sum_{k=0}^{n-1} \frac{g^{(k)}(0)}{k!} \mathbb{E}X^k + \frac{\mathbb{E}X^n}{n!} \mathbb{E} g^{(n)}(X_{(...

For the characteristic function $\mathbf E e^{i t X}$ of a random variable $X$ with $n+1$ finite moments, there is the well known and easy to prove bound on the remainder of the Taylor series $$\left\...