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For a positive stock satisfying $dS=S\sigma dW$, the Itô formula gives $d\sqrt{S}=\frac{1}{2}\sqrt{S}\sigma dW-\frac{1}{8}\sqrt{S}{\sigma }^{2}dt$. Localization and the conditional Fatou lemma make this nonnegative local supermartingale a true supermartingale.

On $([0,1],\lambda )$, the functionsconverge pointwise to zero but satisfy $\int f_{n}d\lambda =1$. Hence the two sides of Fatou lemma can be zero and one.

A nonnegative local martingale is a supermartingale. If its integrable terminal limit has the same expectation as its initial value, conditional Fatou lemma gives $\mathbb{E}[Z_{\infty }\mid {\mathcal{F}}_t]\le Z_t$, and equality of expectations makes this an equality. It is therefore a uniformly integrable martingale.