On uniform integrability of random variables

One of the basic theorems used in proving almost sure convergence is the Fatou Lemma. It is common knowledge that any consideration of conditional theorems is a delicate matter. This paper presents a few examples indicating the differences between expected value and conditional expectation. Certain relations between various types of uniform integrability are also provided.

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Year of publication:	2005
Authors:	Majerek, Dariusz ; Nowak, Wioletta ; Zieba, Wieslaw
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 74.2005, 3, p. 272-280
Publisher:	Elsevier
Keywords:	Integrability Amarts Almost sure convergence Conditional expectation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313841