A Note on Uniform Integrability of Random Variables in a Probability Space and Sublinear Expectation Space
HU Zechun; ZHOU Qianqian
College of Mathematics, Sichuan University, Chengdu, 610064, China; School of Mathematical Sciences, Nankai University, Tianjin, 300071, China; Department of Mathematics, Nanjing University, Nanjing, 210093, China
In this note we discuss uniform integrability of random variables. In a probability space, we introduce two new notions on uniform integrability of random variables, and prove that they are equivalent to the classic one. In a sublinear expectation space, we give de La Vall\'{e}e Poussin criterion for the uniform integrability of random variables and do some other discussions.
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HU Zechun; ZHOU Qianqian. A Note on Uniform Integrability of Random Variables in a Probability Space and Sublinear Expectation Space. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2018, 34(6): 577-586.
