Solution

ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2008/d/1/b/solution

For positive integers , let . This measurable set has finite measure, and . Monotonicity of the Lebesgue integral gives
so every is a Lebesgue null set. The set where is the countable union of these sets over . Part (a) makes it null, hence
The bounded truncation ensures that only integrable indicator functions are used with the stated comparison rule.

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