Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2006/ii/paper-2/25j/c/solution

Convergence to a finite real limit is equivalent to the Cauchy property. The convergence set is therefore
Each set in braces is measurable, and sigma-algebras are closed under all the displayed countable operations. Completeness of ensures that the Cauchy property gives a finite limit, proving the claim.

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