Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2008/d/3/a/ii/solution

No. Take on the real line. At every fixed point it eventually vanishes, so , while for every . Thus the limit of the integrals is one and the integral of the pointwise limit is zero. Nonnegativity alone cannot replace monotonicity or an integrable domination hypothesis.

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