Is the sequence $(X_n)$ of $L^1$ random variables uniformly integrable?

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    2017
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SUMMARY

The sequence $(X_n)$ of $L^1$ random variables is uniformly integrable under the conditions that $\Bbb E[f(|X_n|)]$ is uniformly bounded and that the function $f$ is continuous, nondecreasing, and satisfies $\dfrac{f(x)}{x}\to \infty$ as $x\to \infty$. These conditions ensure that the tail behavior of the random variables is controlled, leading to uniform integrability. The proof relies on the properties of the function $f$ and the boundedness of the expected values.

PREREQUISITES
  • Understanding of $L^1$ random variables
  • Knowledge of uniform integrability concepts
  • Familiarity with probability spaces and expectations
  • Basic properties of continuous, nondecreasing functions
NEXT STEPS
  • Study the concept of uniform integrability in detail
  • Explore the implications of the conditions on $f$ in probability theory
  • Investigate examples of $L^1$ random variables and their properties
  • Learn about the relationship between uniform integrability and convergence in distribution
USEFUL FOR

Mathematicians, statisticians, and graduate students focusing on probability theory and stochastic processes will benefit from this discussion, particularly those interested in the properties of random variables and integrability conditions.

Euge
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Here is this week's POTW:

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Let $(X_n)$ be a sequence of $L^1$ random variables on a probability space $(\Omega, \Bbb P)$. Let $f$ be a continuous, nondecreasing function from $[0,\infty)$ onto itself such that

1. $\Bbb E[f(|X_n|)]$ is uniformly bounded

2. $\dfrac{f(x)}{x}\to \infty$ as $x\to \infty$

Show that $(X_n)$ is uniformly integrable.
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Remember to read the http://www.mathhelpboards.com/showthread.php?772-Problem-of-the-Week-%28POTW%29-Procedure-and-Guidelines to find out how to http://www.mathhelpboards.com/forms.php?do=form&fid=2!
 
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Due to the difficulty some may have had with this problem, I'm extending the deadline one more week.
 
No one answered this week's problem. You can read my solution below.
Set $M = \sup_{m\in \Bbb N} E[f(\lvert X_n\rvert)]$. Given $\epsilon > 0$, choose $\delta > 0$ such that for all $x$, $x \ge \delta$ implies $f(x) > \frac{x}{\epsilon}$. For all $n\in \Bbb N$,

$$E[\lvert X_n\rvert I_{\lvert X_n\rvert \ge \delta}] \le E[\epsilon f(\lvert X_n\rvert)I_{\lvert X_n\rvert \ge \delta}] \le \epsilon M$$

Since $\epsilon$ was arbitrary, $(X_n)$ is uniformly integrable.
 

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