His legal name is Jon Jeager Jingleheimer-Jacobs.
Jon was born into an aristocratic family in Alna, Norway. Because of his higher standing, his parents lavished him with jewels and the finest clothing; fashioned and tailored just for him. He became accustomed to a princely life filled with servants that jumped to his every demand, and parties that were specially organized months in advance for his birthday every year. He, very simply, was a spoiled child with a keen mind for crafting grappling hooks out of his toys and a love for puzzle solving.
On a lazy afternoon, Jon found himself tucked away in his basement. He had been tying all of the stored Christmas lights to use as a rope to rappel himself off of the roof when he was disrupted with a call for dinner. Without unplugging the lights (which he had kept on for entertainment), he rushed upstairs, and the coiled wires got hot enough to spark.
The entire mansion burned from the ground up. Unfortunately, Jon's family estate was so far out in the countryside, firemen and other emergency assistants were unable to salvage anything. Jon, the servants and his parents all survived the incident. Those who were hurt only suffered minor burns and small coughs from the smoke.
His parents, so blinded by their vanity and their lost possessions, sent Jon away to Wammy's House by Wammy's invitation himself. He had accompanied L, disguised as Danueve at the time, to a few partied hosted by Jon's parents while solving a case the summer before. He saw their son's potential, and ensured them that Jon had somewhere worthwhile to go in case something may happen to them.
Jon, only eight at the time, took the letter J upon his arrival to Wammy's House. Like most of the other children, he wanted to cast off his original identity. Jon became 'Jay', and he primarily studied paranormal activity, so that when he became older, he could run an agency that deals with the supernatural. He wanted to take a different path from L and his successors by solving cases that may or may not have a scientific solution.
Image is fan art of Belphegor from Katekyo Hitman Reborn!