Solution

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

Let . These are nonnegative measurable functions increasing to the extended-valued sum . Monotone convergence gives
A nonnegative function with finite integral cannot be infinite on a set of positive measure. Hence almost everywhere, which is exactly almost-everywhere convergence of the nonnegative series. One may redefine the sum arbitrarily on the exceptional null set to obtain an ordinary integrable representative.

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