Solution

ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2007/d/1/ii/solution

Use the increasing nonnegative measurable functions . Their pointwise limit is the given function except at irrelevant endpoint choices, and the fundamental theorem of calculus on gives
monotone convergence therefore gives . Since , this is also , and is not Lebesgue integrable. Measurability alone does not make a finite integral.

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