Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2009/d/d3/i/b/solution

Integrating from one to gives for . It has a finite limit as exactly when , while at the logarithm diverges. Nonnegativity equates finiteness of this integral with Lebesgue integrability. Hence .

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