We introduce a notion of the derivative with respect to a function, not necessarily related to a probability distribution, which generalizes the concept of derivative as proposed by Lebesgue [14]. The differential calculus required to solve linear differential equations using this notion of the derivative is included in the paper. The definition given here may also be considered as the inverse operator of a modified notion of the Riemann–Stieltjes integral. Both this unified approach and the results of differential calculus allow us to characterize distributions in terms of three different types of conditional expectations. In applying these results, a test of goodness of fit is also indicated. Finally, two characterizations of a general Poisson process are included. Specifically, a useful result for the homogeneous Poisson process is generalized.