A note on the weak convergence of continuously integrable sequences

Abstract

A uniformly continuously integrable sequence of real-valued measurable functions, defined on some probability space, is relatively compact in the $\sigma (L^1,L^{\infty })$ topology. In this paper, we link such a result to weak convergence theory of bounded measures as exposed in Billingsley (1968) and in Lo(2021) to offer a detailed and new proof using the ideas beneath the proof of prohorov's theorem where the continuous integrability replaces the uniform or asymptotic tightness.