Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2011/d/d3/b/ii/solution

Use the nonnegative parts and , so . The zero-mean assumption gives . On the -th period, each of the positive and negative weighted integrals lies between and . Their difference therefore satisfies the stronger estimate
The sum of the absolute values of these block integrals converges, proving the existence of the finite limit of the integrals from to .
For genuine Lebesgue integrability we instead need the integral of the absolute value. Periodicity gives
If , summation diverges by the harmonic series. If , then almost everywhere and the function is integrable. Thus
The finite signed block limit therefore need not be a Lebesgue integral.

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