Atomless maxima on separated Brownian intervals

ID: atomless-maxima-on-separated-brownian-intervals

For Brownian motion, write the later maximum as , where has a nondegenerate normal distribution and . The independent increments make independent of the earlier history and of . Conditional on those two objects, equality of the two maxima prescribes one value of , an event of probability zero. This argument uses the positive gap and does not assume independence of the two absolute maxima.

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