Uniform integrability of a stopped uniformly integrable martingale

Stopping a uniformly integrable discrete-time martingale at any stopping time preserves uniform integrability, including when the stopping time can be infinite. For $C={\sup }_n\mathbb{E}|X_n|$, the optional stopping theorem and the Markov inequality giveChoose $R$ first, then $K$, to make this uniformly small.