I don't know exactly what "the limit of a sequence of sets" has been defined to mean in your problem. However, I can show you something that I think might prove this claim for your whatever your definition there is. I'll just state what I can prove, and then leave it to you to see if that, when considered in light of whatever definition you have of "convergence sequences of sets", proves this claim. I suspect this will do the job.
Given a set

and
)
, define

, and then inductively

.
Let

.
Claim #1: If

and

, then

is odd.
Proof: Will be by induction.
Note that

.
Now let
)
be the proposition "

is odd)".
Since

, have that

. But also

, so it follows that

.
Thus have proven that

, and

. That proves that
)
is true.
Assume )
is true for some

.
Let

. Then

is even, and

. Thus
)
true implies that
)
.
So

, but also

. Thus

.
Now

, but also

. Thus

.
Have shown that
)
true implies that

and also that

.
But theose three statements together exactly comprise the statement
)
.
Thus
 \Rightarrow S(n+1) \ \forall n \in \mathbb{N})
. Also have shown that
)
is true.
Thus by induction, have proven
)
is true

. That proves the claim #1.
Claim #2: If

,
then

, and

.
Proof:
If

, then

.
Then

and

again together imply that

.
By the obvious induction,

.
Conversely, if

, then

.
The induction is clear: for

will be in neither

(by the definition of

), nor

(by induction), and therefore

won't be in

.
That proves Claim #2.