A Strong Law of Large Numbers for Positive Random Variables

Ioannis Karatzas, Walter Schachermayer

Published 2021-11-30, updated 2022-04-08Version 2

In the spirit of the famous KOML\'OS (1967) theorem, every sequence of nonnegative, measurable functions $\{ f_n \}_{n \in \N}$ on a probability space, contains a subsequence which - along with all its subsequences - converges a.e. in CES\`ARO mean to some measurable $f_* : \Omega \to [0, \infty]$. This result of VON WEIZS\"ACKER (2004) is proved here using a new methodology and elementary tools; these sharpen also a theorem of DELBAEN & SCHACHERMAYER (1994), replacing general convex combinations by CES\`ARO means.