Fatou's lemma for weakly converging measures under the uniform integrability condition

DOI10.1137/S0040585X97T989738zbMATH Open1434.28004arXiv1807.07931OpenAlexW2981528476WikidataQ124808860 ScholiaQ124808860MaRDI QIDQ5216294FDOQ5216294

Authors: Eugene A. Feinberg, Yan Liang, Pavlo O. Kasyanov 

Publication date: 17 February 2020

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Abstract: This note describes Fatou's lemma and Lebesgue's dominated convergence theorem for a sequence of measures converging weakly to a finite measure and for a sequence of functions whose negative parts are uniformly integrable with respect to these measures. The note also provides new formulations of uniform Fatou's lemma, uniform Lebesgue convergence theorem, the Dunford-Pettis theorem, and the fundamental theorem for Young measures based on the equivalence of uniform integrability and the apparently weaker property of asymptotic uniform integrability for sequences of functions and finite measures.

Full work available at URL: https://arxiv.org/abs/1807.07931

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zbMATH Keywords

uniform integrabilityweak convergence of measuresFatou lemmaasymptotic uniform integrability

Mathematics Subject Classification ID

Spaces of measures, convergence of measures (28A33) (L^p)-limit theorems (60F25)

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Cited In (16)

• Weak Feller property of non-linear filters
• Uniform Fatou's lemma
• A New Version of Uniform Integrability via Power Series Summability Methods
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• Convergence for varying measures in the topological case
• Consistency of statistical estimators of solutions to stochastic optimization problems
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• A Fatou lemma for Gelfand integrals by means of Young measure theory
• DiPerna-Majda measures and uniform integrability
• Fatou's lemma in its classical form and Lebesgue's convergence theorems for varying measures with applications to Markov decision processes
• Convergence theorems for varying measures under convexity conditions and applications
• Fatou's lemma and Lebesgue's convergence theorem for measures
• Constrained discounted Markov decision processes with Borel state spaces
• Convergence for varying measures

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