Suppose $X_n$ is a step function that converges pointwise to $X$, where $X: \Omega \rightarrow \mathbb{R} $ is a measurable function. How would I show that that $X_n$ is measurable with respect to $\sigma (X)$?
2026-02-23 11:25:37.1771845937
Show a step function is measurable
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It is not true in general.
Let $X$ be constant so that $\sigma(X)=\{\varnothing,\Omega\}$.
Then it is not difficult to find a sequence of step functions converging to $X$, but these functions are not necessarily constant.
However every function that is measurable wrt $\{\varnothing,\Omega\}$ is constant.