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Suppose $f_n \rightarrow f$ in distribution, where $(f_n)_{n \geq 1}$ is a sequence of integrable functions. Also suppose $\sup_{n \geq 1} |f_n|$ is well-defined and measurable. Does this imply that

$$ \int_0^1 f_n \rightarrow \int_0^1 f $$

I've tried thinking about convergence of the characteristic functions (Levy's continuity theorem) and also supposing that $f_n \rightarrow 0$ in distribution. But I couldn't get to the result.

I don't think it is true given my attempts, since potentially you could use $f_n = n \chi_{[0,1/n]}$, which are (i) integrable and (ii) have well-defined/measurable supremum on the interval (0,1). But $\int_0^1 f_n = 1$ and $f_n \rightarrow \chi_{(0)}$ in distribution.

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  • $\begingroup$ Why do you consider $0$ so important? Just redefine $f_n(0)$ to be $0$ as I have done in my answer. $\endgroup$ Commented Nov 18, 2023 at 8:35
  • $\begingroup$ You get convergence in $L^1$ if $\limsup_n \int |f_n| \leq \int |f|$. $\endgroup$
    – Mason
    Commented Nov 18, 2023 at 14:10
  • $\begingroup$ That makes sense to me @Mason, but I don't think this necessarily applies in this case, right? I think all that we can say is that $\sup_n \int |f_n| < \infty$, but not necessarily that $\limsup_n \int |f_n| \leq \int |f|$? So I think the counterexample applies (in particular $1/x$ is continuous on the interval $(0,1)$, so it is well-defined and measurable). $\endgroup$ Commented Nov 19, 2023 at 1:35

1 Answer 1

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On the open interval $(0,1)$ with Lebegue measure define $f_n(x)=n1_{(0,\frac 1n)}(x)$ and $f=0$ Then $f_n(x)\leq \frac 1 x$ for all $n,x$ but $\int f_n$ does not tend to $\int f$. Note that $f_n(x) \to f(x)$ for all $x$.

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