It seems to me that a sequence of uniformly bounded random variables {Xn}∞n=1 on a probability space (Ωn,Fn,P) such that |Xn(ω)|≤M for all ω∈Ωn is uniform integrable. For if I is the indicator function, suppose ε>0 is given and let k=2M, then
E(|Xn|I(|Xn|≥k))=E(|Xn|I(|Xn|≥2M))=E(|Xn|⋅0)=0<ε
Is it true that a sequence of uniformly bounded random variables are uniformly integrable?
Answer
The reasoning and its conclusion are correct.
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