Past exam of the probability, statistics and options I course of the University of Oxford / 2007 / D / 1 / iii / Solution

Similarly set $g_n(x)=x^{1/2}{1}_{[1/n,1]}(x)$. These nonnegative measurable functions increase to $g$ almost everywhere. The fundamental theorem of calculus givesBy monotone convergence,The integral is finite and $g\ge 0$, so $g$ is Lebesgue integrable. Identifying Lebesgue and ordinary integrals of continuous functions on compact intervals justifies each truncated calculation.