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Let $(X_n)$ be a sequence of positive valued rvs on a probability space $(\Omega,\mathcal{F},P),$ such that $(X_n)$ converges ae to a rv $X.$ If $E(X_n)\leq c<+\infty$ for all $n$, then $X$ is integrable and $E(X)\leq c.$

Some thoughts: the dominated (bounded) convergence theorem can not be applied (at least not at first glance), since the $(X_n)$ are not uniformly bounded by some integrable rv $Y$ (by a constant, respectively).

Thanks a lot for the help!

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    $\begingroup$ This follows from Fatou's lemma. $\endgroup$ – user296602 Feb 9 '16 at 20:52
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    $\begingroup$ @T.Bongers: You should make that an answer... $\endgroup$ – copper.hat Feb 9 '16 at 20:55
  • $\begingroup$ Definately! Thanks! $\endgroup$ – Nikolaos Skout Feb 9 '16 at 20:56
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(From my comment above.)

This follows from Fatou's lemma.

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As proposed by @T.Bongers, it follows by Fatou' lemma. Indeed, $X_n,~n\geq 1$ are non negative and converge ae to $X$, so by Fatou's lemma, we get $Ε(X)\leq \liminf E(X_n)$. Since $E(X_n)\leq c$ for all $n,$ we get $Ε(X)\leq \liminf E(X_n)\leq c,$ as desired.

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