But what about the $p_n$?I thought this notation does mean: $P(X_n=0)=P(X_n^{-1}(0))=p_n$ I thought thats just a property on a certain set and we don't know anything about the other values. I am reading it like: "The measure of the fiber under all $X_n$ of zero is exactly $p_n$"
Thanks for the answer! I am trying to understand your proof of 1). I dont understand the sentence "But since $X_n$ is equal to one or zero..." and the steps after this. Can you explain it to me in more detail please?