Saturday, 2 February 2013

probability - Is a sequence of bounded random variables uniformly integrable?



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 ωΩn 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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