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Quantitative Finance · Glosarium

Apa itu Uniform integrability?

Definition 1.11 Quantitative Methods · Bab 1 — Probability at Speed

A family (Xi)i∈I(X_i)_{i \in I} of random variables has uniform integrability if sup⁡iE[∣Xi∣1{∣Xi∣>c}]→0\sup_{i}\E[|X_i|\mathbf 1_{\{|X_i| > c\}}] \to 0 as c→∞c \to \infty.

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