 Gaussian maximal bound for Brownian motion

Stop the Exponential martingale for Brownian motion $e^{\theta B_s-{\theta }^{2}s/2}$ when $B$ first reaches $\delta$ or at $t$. On the hitting event its value is at least $e^{\theta \delta -{\theta }^{2}t/2}$, so that event has probability at most $e^{-\theta \delta +{\theta }^{2}t/2}$. Minimize over $\theta >0$ and apply the same bound to $-B$. The union bound gives the displayed inequality for $t>0$; at zero the probability is zero.