My question is as the following:
Let $X_1,X_2,\cdots$ be independent random variables and $S_n=\sum\limits_{k=0}^n X_k$.
Suppose that $\sum\limits_{k=n}^m X_k$ converges in probability to $0$ when $n,m$ go to $\infty$. Does $S_n$ converge also in probability to a certain limit?
It is known that convergence in probability defines a topology on the space of random variables over a fixed probability space. This topology is metrizable by the Ky Fan metric, which is caracterized by:
$d(X,Y)=\inf\{\epsilon>0: P(|X-Y|>\epsilon)\le\epsilon\}$,
or $d(X,Y)=E[\min(|X-Y|,1)]$.
If the Ky Fan metric is complete, then $S_n$ would converge to a limit. So is the Ky Fan metric complete?
Best Answer
We need to use the following facts:
Note that independence of $X_n$ wasn't used.