Fatou's Lemma in Its Classic Form and Lebesgue's Convergence Theorems for Varying Measures with Applications to MDPs

Eugene A. Feinberg, Pavlo O. Kasyanov, Yan Liang

The classic Fatou lemma states that the lower limit of a sequence of integrals of functions is greater or equal than the integral of the lower limit. It is known that Fatou's lemma…