Let ((S, d)) be a complete metric space equipped with the (sigma)-algebra (mathscr{B}(S)) of its Borel sets.
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Let \((S, d)\) be a complete metric space equipped with the \(\sigma\)-algebra \(\mathscr{B}(S)\) of its Borel sets. Assume that \(\left(X_{n}ight)_{n \geqslant 1}\) is a sequence of \(S\)-valued random variables such that
\[\lim _{n ightarrow \infty} \sup _{m \geqslant n} \mathbb{E}\left(d\left(X_{n}, X_{m}ight)^{p}ight)=0\]
for some \(p \in[1, \infty)\). Show that there is a subsequence \(\left(n_{k}ight)_{k \geqslant 1}\) and a random variable \(X\) such that \(\lim _{k ightarrow \infty} X_{n_{k}}=X\) almost surely.
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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
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