Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It only takes a minute to sign up.
Sign up to join this community
A sequence of jointly measurable stochastic processes $\{X_n\}_{n \in \mathbb N}$ converges to the limit $X$ uniformly on compacts in probability (ucp) if
$$P\left(\sup_{s\le t}\vert X_{n}(s)-X(s)\vert>\epsilon\right)\rightarrow 0 $$
as ${n\rightarrow\infty}$ for each ${t,\epsilon>0}$.
Is it true that if $X_n \rightarrow X$ ucp, then there exists a sub-sequence of $X_n$ that converges uniformly on compacts almost surely to $X$ ?
Yes. Let $Y_{nk}=\sup_{s\leq k} |X_n (s)-X(s)|$. Then $Y_{nk} \to 0$ in probability as $ n \to \infty$ for each $k$. For each $k$ there is a subsequence that converges almost surely. By a diagonal procedure we can find one subsequence $\{n_i\}$ of the integers such that $Y_{{n_i} k} \to 0$ almost surely for each $k$. This implies that $X_{n_i} \to X$ ucp.
