On an explicit formula for the distribution of the supremum

Let M_∞ be the supremum of a random walk drifting to -∞ which is generated by the partial sums of a sequence of independent identically distributed random variables with a common distribution F. We prove that the moment generating function E exp(sM_∞) is a rational function if and only if the function ∫₀^∞ exp(sx)F(dx) is rational.