Fatou's Lemma for Weakly Converging Probabilities
Probability
2013-11-25 v3
Abstract
Fatou's lemma states under appropriate conditions that the integral of the lower limit of a sequence of functions is not greater than the lower limit of the integrals. This note describes similar inequalities when, instead of a single measure, the functions are integrated with respect to different measures that form a weakly convergent sequence.
Keywords
Cite
@article{arxiv.1206.4073,
title = {Fatou's Lemma for Weakly Converging Probabilities},
author = {Eugene A. Feinberg and Pavlo O. Kasyanov and Nina V. Zadoianchuk},
journal= {arXiv preprint arXiv:1206.4073},
year = {2013}
}