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Timeline for Show convergence result

Current License: CC BY-SA 4.0

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Feb 16 at 10:38 comment added Star Thanks. Could you revise your answer based on that? Also, I cannot assume that $(p_n)$ almost surely converges. This is indeed why this question is difficult.
Feb 16 at 9:48 comment added Claude Chaunier The same reasoning also works whenever $(p_n)$ almost surely doesn't converge. @GoldenRetrieverLover's answer seems to address the other extreme case when $(p_n)$ almost surely converge (I wish I could undo my downvote). Now what happens if the probability space is a mixture in between?
Feb 16 at 9:33 comment added Star Thanks Claude. Why is it complicated to show the general case? In my question, I am assuming that $A$ is non-empty, so the limit above exists for at least one $x$.
Feb 16 at 9:25 history edited Claude Chaunier CC BY-SA 4.0
Mentionning the restrictive assumption on which the whole answer depends.
Feb 16 at 8:59 history edited Claude Chaunier CC BY-SA 4.0
Fully answered the original question and clarification.
Feb 16 at 8:53 history edited Claude Chaunier CC BY-SA 4.0
Fully answered the original question.
Feb 15 at 22:58 history edited Claude Chaunier CC BY-SA 4.0
Got the conclusion wrong.
Feb 15 at 22:51 history answered Claude Chaunier CC BY-SA 4.0