Proof. Note first that, since
$f(1)=1$ and
$f*g=\varepsilon$ where
$\varepsilon$ denotes the
convolution identity function, then
$g(1)=1$ Let
$p$ be any prime. Then
$$0=\varepsilon(p)=(f*g)(p)=f(1)g(p)+f(p)g(1)=g(p)+f(p).$$
Thus, $g(p)=-f(p)$
Assume that $f$ is completely multiplicative. The statement about $g$ will be proven by induction on $k$ Note that:
$\begin{array}{ll} 0 & =\varepsilon(p^2) \\ & =(f*g)(p^2) \\ & =f(1)g(p^2)+f(p)g(p)+f(p^2)g(1) \\ & =g(p^2)+f(p)(-f(p))+(f(p))^2 \\ & =g(p^2) \end{array}$
Let $m \in \mathbb{N}$ with $m>2$ such that, for all $k \in \mathbb{N}$ with $1<k<m$ $g(p^k)=0$ Then:
$\begin{array}{ll} 0 & =\varepsilon(p^m) \\ & =(f*g)(p^m) \\ & =f(1)g(p^m)+f(p^{m-1})g(p)+f(p^m)g(1) \\ & =g(p^m)+(f(p))^{m-1}(-f(p))+(f(p))^m \\ & =g(p^m) \end{array}$
Conversely, assume that $g(p^k)=0$ for all $k \in \mathbb{N}$ with $k>1$ The statement $f(p^k)=(f(p))^k$ will be proven by induction on $k$ The statement is obvious for $k=1$ Let $m \in \mathbb{N}$ such that $f(p^{m-1})=(f(p))^{m-1}$ Then:
$\begin{array}{ll} 0 & =\varepsilon(p^m) \\ & =(f*g)(p^m) \\ & =f(p^{m-1})g(p)+f(p^m)g(1) \\ & =(f(p))^{m-1}(-f(p))+f(p^m) \\ & =-(f(p))^m+f(p^m) \end{array}$
Thus, $f(p^m)=(f(p))^m$ It follows that $f$ is completely multiplicative. 