Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/d/d3/1/solution

Apply monotone convergence to . Its limit has integral , so almost everywhere. Thus the original series converges absolutely almost everywhere. Its partial sums are bounded in absolute value by the integrable function , and their limit satisfies . Dominated convergence gives
Assigning any value on the null exceptional set defines an integrable representative of .

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