relation between almost surely absolutely bounded random variables and their absolute moments
Let a probability space and let be a randomvariable
; then, the following are equivalent
:
1) i.e. isabsolutely bounded almost surely;
2)
Proof.
1) 2)
Let’s define
Then by hypothesis
and
We have:
2) 1)
Let’s define
Then we have obviously (in fact, if ) and (in fact, let ; let ; then , that is ); this means that
in the meaning of sets sequences convergence (http://planetmath.org/SequenceOfSetsConvergence).
So the continuity from below property (http://planetmath.org/PropertiesForMeasure) of probability can be applied:
Now, for any ,
that is
so that the only acceptable value for is
whence the thesis.∎
Acknowledgements: due to helpful discussions with Mathprof.