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Almost-sure limit of independent random variables is constant

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Convergence of random variables Almost sure convergence Complete convergence of random variables
2026-10-31  0 By others on same topic  0 Discussions Create my own version
If independent random variables Xn​ converge almost surely to a finite X, then limsupn​Xn​ is measurable for the tail sigma-algebra. The Kolmogorov zero-one law forces every rational threshold event for that limit to have probability zero or one. A real-valued probability distribution with this property is a point mass, so X is almost surely constant. Consequently the Second Borel-Cantelli lemma upgrades almost sure convergence of independent sequences to complete convergence.

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  • Past exam of the martingales and financial mathematics course of the University of Oxford / 2009 / A / 1 / b / iii / Solution

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