Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2025/iii/paper-201/6/c/ii/solution

Take and . Then , so is uniformly integrable and almost surely by the Borel-Cantelli lemmas. Independence and give
But the independent events have divergent probability sum, so the second Borel-Cantelli lemma makes them occur infinitely often. Thus these conditional expectations do not converge almost surely to zero.

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