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May 8 at 18:32 vote accept ssss nnnn
May 8 at 18:27 comment added ssss nnnn Well, this example really works, moreover, the additional assumption that $\mathbb{E} (\sup_{t\in T} X(t))_+<\infty$ does not help, we could as well choose $U$ with $\mathbb{P}\{U>u\}=u^{-2},u>1$.
May 8 at 17:27 comment added Iosif Pinelis @ssssnnnn : Generally, qualitative assumptions (such as almost sure boundedness) can hardly help one to get quantitative conclusions.
May 8 at 17:08 comment added Iosif Pinelis @ssssnnnn : This does not help -- see the modified example.
May 8 at 17:05 history edited Iosif Pinelis CC BY-SA 4.0
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May 8 at 16:19 comment added ssss nnnn But this process $X(t)$ is not almost surely bounded from above, while in the formulation it is written that $X(t)$ is bounded from above, that is, $\sup_{t \in T} X(t) < \infty$. I will write this in the question more explicitly for clarity.
May 8 at 16:08 history answered Iosif Pinelis CC BY-SA 4.0