Paper 4, Section II, 26H

Probability and Measure
Part II, 2021

Let (Ω,F,P)(\Omega, \mathcal{F}, \mathbb{P}) be a probability space. Show that for any sequence AnFA_{n} \in \mathcal{F} satisfying n=1P(An)<\sum_{n=1}^{\infty} \mathbb{P}\left(A_{n}\right)<\infty one necessarily has P(lim supAnAn)=0.\mathbb{P}\left(\limsup A_{n} A_{n}\right)=0 .

Let (Xn:nN)\left(X_{n}: n \in \mathbb{N}\right) and XX be random variables defined on (Ω,F,P)(\Omega, \mathcal{F}, \mathbb{P}). Show that XnXX_{n} \rightarrow X almost surely as nn \rightarrow \infty implies that XnXX_{n} \rightarrow X in probability as nn \rightarrow \infty.

Show that XnXX_{n} \rightarrow X in probability as nn \rightarrow \infty if and only if for every subsequence Xn(k)X_{n(k)} there exists a further subsequence Xn(k(r))X_{n(k(r))} such that Xn(k(r))XX_{n(k(r))} \rightarrow X almost surely as rr \rightarrow \infty.