 Shared-uniform counterexample to the second Borel-Cantelli lemma

Choose one random variable $U$ with the continuous uniform distribution on $[0,1]$, and reuse it in every event:Each probability is $1/(n+1)$, so their harmonic series diverges, just as in summable and harmonic event probabilities. But the events are decreasing: $A_{n+1}\subseteq A_n$. For every outcome $U=u>0$, all indices with $n+1>1/u$ fail. Only finitely many events occur on that outcome. The limsup of events is exactly $\{U=0\}$, a zero-probability event. This is a concrete closed-interval version of the shrinking-interval dependence example.^[ref]

The missing assumption is visible already in two events. For $i<j$, their intersection is $A_j$, henceMoreover, the whole tail union is just $A_m$, with probability $1/(m+1)\to 0$. This calculation explains directly why divergence alone fails: overlapping events keep spending their individual probabilities on the same outcomes.

Let $N={\sum }_{n\ge 1}{1}_{A_n}$ be the total number of occurrences, a sum of indicator random variables. Although $N<\infty$ almost surely, Tonelli theorem gives $\mathbb{E}[N]={\sum }_{n\ge 1}1/(n+1)=\infty$. More explicitly, $\mathbb{P}(N\ge k)=1/(k+1)$ for $k\ge 1$: very small positive values of $U$ give very long, but finite, initial runs. Infinite expected value does not imply a positive probability of an infinite count.