A Note on Uniform Integrability of Random Variables in a Probability Space and Sublinear Expectation Space

Abstract

In this note we discuss uniform integrability of random variables. In a probability space, we introduce two new notions on uniform integrability of random variables, and prove that they are equivalent to the classic one. In a sublinear expectation space, we give de La Vall\'ee Poussin criterion for the uniform integrability of random variables and do some other discussions.