Uniform integrability
Definition taught in Expectation and convergence, part of Stochastic processes
Uniform integrability
| Type | Definition |
| Taught in | Expectation and convergence |
| Part | Stochastic processes |
A family \{X_n\} is uniformly integrable when
\lim_{K\to\infty}\sup_n \mathbb{E}\bigl(|X_n|\,1_{\{|X_n|>K\}}\bigr)=0.
Used in
- Taught in Expectation and convergence, where the derivation and examples are.
- All 3 questions on Expectation and convergence
See also
Monotone convergence, Fatou, and dominated convergence · Modes of convergence · Strong law