Almost-sure martingale convergence to a nonintegrable limit

Let independent increments ${\xi }_k$ equal $4^k$ or $-4^k$ with probabilities $2^{-k-1}$ each, and zero otherwise. Every partial sum $M_n={\sum }_{k\le n}{\xi }_k$ is integrable and is a martingale. The Borel-Cantelli lemma makes only finitely many increments nonzero almost surely, so $M_n$ has a finite almost-sure limit $Y$. Yet $\mathbb{E}|Y|=\infty$: the disjoint events that only the $k$th increment is nonzero have probabilities at least $c{2}^{-k}$ for $c={\prod }_j(1-2^{-j})>0$, and contribute at least $c{2}^k$ each. This does not contradict the martingale convergence theorem, whose integrability conclusion requires a uniform first-moment bound.

// Target: markov-process.bigb