[Math] If a sequence of independent random variables converges almost surely to a random variable, then that limit is almost surely a constant

borel-cantelli-lemmasindependencemeasure-theoryprobability theoryrandom variables

Let $\{X_n\}$ be a sequence of independent random variables converging almost surely to a random variable $X$. Then how to show that $X$ is almost surely a constant ?

I think I somehow have to apply the Borel-Cantelli lemma for independent events, but I don't know how.

Please help.

Best Answer

Suppose that $X_n \to X$ almost surely. Thus if $\Omega_0 = \{X_n \to X\}$ then $\mathbb P(\Omega_0) = 1$. Then for any fixed $c \in \mathbb R$ $$ \Omega_0 \cap \{X < c\} = \Omega_0 \cap\{X_n < c\ \text{infinitely often}\}$$ Then apply Borel-Cantelli to justify that $\{X_n < c\ \text{infinitely often}\}$ happens with probability either 0 or 1, thus $$\mathbb P(X < c) = \mathbb P(\Omega_0 \cap \{X < c\}) = \mathbb P(\Omega _0\cap \{X_n < c\ \text{i.o.}\}) = \mathbb P(\text{$X_n < c$ i.o.})$$ and will equal 0 or 1. Use this to deduce that $X$ is almost surely constant.

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