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Dec 29, 2020 at 13:24 vote accept 0xbadf00d
Dec 29, 2020 at 13:18 comment added 0xbadf00d BTW, I don't see that you've used separability at some point. We only need to assume that $(\lambda_n)_{n\in\mathbb N}$ is bounded in total variation norm and that each $\lambda_n$ is tight (equivalently, Radon) in order to apply Prohorov's theorem.
Dec 29, 2020 at 13:16 comment added 0xbadf00d Thank you for your answer! Just a minor correction which doesn't break your argument: You can "only" conclude that $S$ is contained in $B_{1/m}^c\color{red}{\cup\{0\}}$ and hence in $K_i'\color{red}{\cup\{0\}}$. Of course, it doesn't matter, since $\{0\}$ is compact as well.
Dec 29, 2020 at 1:39 history answered Nate Eldredge CC BY-SA 4.0