Checking uniform integrability of random series

probability theoryprobability-limit-theoremsrandom variablessolution-verificationuniform-integrability

Let $(X_n)_{n\geq 1}$ be a sequence of iid random variables such that $\mathbb{E}[X_n]=0$ and $\operatorname{\mathbb{V}ar}[X_n]=\sigma^2<\infty$, define $$ Y_n = \frac{X_1+\dots+X_n}{\sqrt{n}}$$
and show that $\{Y_n; n\geq1\}$ is uniformly integrable colection.

My question is related to this one, main answer points that the following strategy is a valid proof, however there aren't any details, so I would like to check if the following proof I wrote is indeed correct.

Notice that

\begin{align}
\sup_{n\geq1} \mathbb{E}[|Y_n|^2] &= \sup_{n\geq1} [|(X_1+\dots+X_n)n^{-1/2}|^2]\\
&= \sup_{n\geq1} n^{-1}\mathbb{E}[|(X_1+\dots+X_n)|^2] \\
&=\sup_{n\geq1} n^{-1}\mathbb{E}\left[\sum_{i=1}^n X_i^2 + 2\sum_{1\leq k < j \leq n}X_kX_j\right] \\
&=\sup_{n\geq1} n^{-1}\mathbb{E}\left[\sum_{i=1}^n X_i^2\right] \\
&=\sup_{n\geq1} n^{-1} n\sigma^2 \\&
= \sigma^2 <\infty
\end{align}

and as we know that $\varphi:x\to|x|^2$ is a test function for UI as $\lim_{x\to+\infty}\phi(x)/x=+\infty$, it follows that $\sup_{n\geq 1}\mathbb{E}[\varphi(|X_n|)] = \sigma^2 <\infty$ for all $n\geq1$ implies that $\{Y_n;n\geq 1\}$ is uniformly integrable.

Best Answer

Your proof that $\mathbb E\left[Y_n\right]$ can be bounded independently of $n$ and that a sequence which is bounded in $\mathbb L^2$ is uniformly integrable is correct.

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