While correcting some typographical errors and making other clarifications to my textbook An Undergraduate Introduction to Financial Mathematics, 4th edition, I began to think that a set of notes on the various modes of convergence of random variables associated with probability spaces would be useful. Hence I have put together these notes on convergence of random variables. The notes define several modes of convergence, give elementary examples, and attempt to compare and contrast the modes of convergence to one another.
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