On convergence of random linear functionals (Q2489851)

Let \(\{ X_n\}\) be a sequence of random elements with values in a real separable Hilbert space \(H\). The author studies conditions upon \(\{ X_n\}\), under which a pointwise limit of the characteristic functions of \(\{ X_n\}\) is the characteristic function of an \(H\)-valued random element. Uniform tightness of \(\{ \| X_n\| :\;n\geq 1\}\) is shown to be sufficient, but not necessary, whereas the uniform tightness of \(\{ \langle X_n,y\rangle :\;n\geq 1,\| y\| \leq 1\}\) is necessary, but not sufficient. The sufficiency result extends to the case of separable reflexive Banach space, while the necessity statement is valid for a Banach space with separable dual.