Solution

ID: past-exam-of-the-martingales-and-financial-mathematics-course-of-the-university-of-oxford/2011/a/2/b/solution

For events , the Borel-Cantelli first lemma states that implies . Indeed,
These unions decrease to , so continuity from above proves the assertion.
The Borel-Cantelli second lemma states that independent events with satisfy . For every fixed , independence and give
Continuity from above shows there is probability zero of no event after . A countable union over gives probability zero of only finitely many occurrences. Independence is needed for this second conclusion, but not for the first.

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