Past exam of the mathematics course of the University of Cambridge / 2007 / ii / Paper 2 / 25J / c / Solution

Under complete convergence of random variables, for each integer $k\ge 1$ the first Borel-Cantelli lemma gives $\mathrm{Pr}(|X_n-X|>1/k\text{ infinitely often})=0$. Intersecting these probability-one conclusions over the countably many $k$ shows that every tolerance is eventually satisfied. Therefore complete convergence implies almost sure convergence, without independence.