Past exam of the Probability, statistics and options II course of the University of Oxford / 2008 / D / 3 / b / Solution

Let $S_N={\sum }_{k=0}^N{a}_k$. These are nonnegative measurable functions increasing to the extended-valued sum $S$. Monotone convergence givesA nonnegative function with finite integral cannot be infinite on a set of positive measure. Hence $S(x)<\infty$ almost everywhere, which is exactly almost-everywhere convergence of the nonnegative series. One may redefine the sum arbitrarily on the exceptional null set to obtain an ordinary integrable representative.