I came across this note online. On page 40 theorem 2.2.18, it seems to suggest that any stopped discrete time nonnegative supermartingale is uniformly integrable and I cannot figure out why. To be more precise, let $\{X_{n}\}_{\mathbb{N}}$ be a discrete time nonnegative supermartingale and $T$ be a stopping time. Prove that the process $\{X_{T\land n}\}_{\mathbb{N}}$ is uniformly integrable. Thanks for your help!
2026-02-22 21:19:55.1771795195
Prove that stopped discrete time nonnegative supermartingales are uniformly integrable
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