Let {Xn}∞n=1 and X be absolutely continuous random variables on a probability space (Ω,F,P), with density functions fXn(x) and fX(x). Are there any hypotheses on {Xn}∞n=1 and/or X that guarantee the convergence lim for a.e. x\in\mathbb{R}?
The most related result that I know is the following: if \{X_n\}_{n=1}^\infty does not converge in law to X, then it not possible to have \lim_n f_{X_n}(x)=f_X(x) for a.e. x\in\mathbb{R}, by Scheffé's Lemma. But this result does not give a sufficient condition for \lim_n f_{X_n}(x)=f_X(x).
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