If $X_n$ is a sequence of non negative random variables decreasing to $X$ (a non negative rv ) in the limit as $n \rightarrow \infty$ and $E[X_n] = \infty $ for all $n$ then is it true that that $E[X] = \infty $ ?
Edit : If we add a condition that $|X_n - X| \leq c_n $ where $c_n$ is a sequence of non negative reals converging to 0 , then does the fact hold ?
The question in the edited part is obvious. $EX \geq EX_n-c_n=\infty$.
Answer for the first part: let $X$ be any non-negative random variable with $EX=\infty$. Consider the sequence $\frac X n$. This decreases to $0$ which has finite expectation.