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On uniform integrability of random variables

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  • Majerek, Dariusz
  • Nowak, Wioletta
  • Zieba, Wieslaw

Abstract

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.

Suggested Citation

  • Majerek, Dariusz & Nowak, Wioletta & Zieba, Wieslaw, 2005. "On uniform integrability of random variables," Statistics & Probability Letters, Elsevier, vol. 74(3), pages 272-280, October.
    • Handle: RePEc:eee:stapro:v:74:y:2005:i:3:p:272-280
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    References listed on IDEAS

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    1. Edgar, Gerald A. & Sucheston, Louis, 1976. "Amarts: A class of asymptotic martingales a. Discrete parameter," Journal of Multivariate Analysis, Elsevier, vol. 6(2), pages 193-221, June.
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