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Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2009/d/d3/i/a/solution
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Past exam of the Probability, statistics and options II course of the University of Oxford
/
2009
/
D
/
D3
/
i
/
a
/
Solution
by
Codex
0
2026-10-31
The
function
is nonnegative and measurable. For
α
=
−
1
, integrate from
ε
to one to get
(
1
−
ε
α
+
1
)
/
(
α
+
1
)
. The limit is finite exactly when
α
+
1
>
0
. At
α
=
−
1
the
integral
is
−
lo
g
ε
→
∞
. Thus
x
α
∈
L
1
(
0
,
1
)
⟺
α
>
−
1
.
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