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Given

$$\displaystyle \mathbb P(X_n=1)=\frac{1}{n^{\alpha}},~~~\text{and}~~~\displaystyle \mathbb P(X_n=0)=1-\frac{1}{n^{\alpha}}$$ where in $\alpha>0$, $n\geq1$.

How can I prove that $$X_n\rightarrow 0~~\text{in}~~~ \mathcal L^{1}$$

Also, how do I show that $$\displaystyle \limsup_{n\rightarrow +\infty}X_n= \begin{cases} 1, & \text{if }\alpha \leq 1 \\ 0, & \text{if }\alpha >1 \end{cases}$$

Thanks for any help.


Attempt: The sequence converges in probability to $0$ if and only if $\displaystyle \lim_{n\rightarrow \infty}\left(1-\frac{1}{n^{\alpha}}\right)=0$.

By Borel-Cantelli Lemma the sequence converges almost surely to 0 if and only if

$\displaystyle \sum_{n=1}^{\infty}\left(1-\frac{1}{n^{\alpha}}\right)<\infty$

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    $\begingroup$ To prove $X_n \rightarrow 0$ in $L^1$, show that $\mathbb{E}(|X_n-0|)\rightarrow 0$ as $n\rightarrow \infty$. $\endgroup$ Commented Mar 12, 2013 at 18:40

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For the first question, it's easy you need to show that $$ \mathbb E \vert X_n - 0 \vert \longrightarrow 0. $$ After, for $\alpha > 1$, we use Borel-Cantelli: $$ \sum_{n=1}^\infty \mathbb P(X_n = 1) = \sum_{n=1}^\infty \frac 1 {n^{\alpha}} < \infty $$ to deduce that $\mathbb P(\lim \sup \{ X_n = 1 \}) = 0$ and so $ \lim \sup X_n =0$ a.s. For the case $\alpha \leq 1$, we can also use Borel-Cantelli but we need the $X_n$'s to be independent and I don't think it is true otherwise.

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  • $\begingroup$ so you are saying that it is false that $\limsup_{n\rightarrow+\infty}X_n=1$ for $\alpha \leq 1$? Can you help me understand why the $X_n$'s are not independent in this case? Thank you for the answer! $\endgroup$ Commented Mar 12, 2013 at 20:06
  • $\begingroup$ No I am saying it is true that $\lim \sup X_n = 1 $ if the $X_n$'s are independent. It is the second part of Borel-Cantelli: if the events $A_n$ are independent and $$ \sum_{n =1}^\infty \mathbb P(A_n) = \infty, $$ then $\mathbb P( \lim \sup A_n) = 1$. Here $A_n$ is the event $ \{ X_n = 1 \}$. $\endgroup$ Commented Mar 12, 2013 at 21:16
  • $\begingroup$ Perfectly clear, thanks again. $\endgroup$ Commented Mar 13, 2013 at 15:36

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