 Solution

The two recursions use a synchronous coupling: they receive exactly the same fresh inputs. Subtraction cancels the additive term:The variable $U_n$ is independent of the preceding difference and has expected value $1/2$. Thus expectation of a product of independent random variables givesBy Markov's inequality, for every $\epsilon >0$,This proves the requested convergence in probability; in fact the difference has L1 convergence. It is synchronous contraction of a random affine recursion, and the estimate holds for every real $c$.