Integral lower envelope for the Brownian maximum
ID: integral-lower-envelope-for-the-brownian-maximum
Let be positive, continuous and nondecreasing, with . The small-value probability for the Brownian running maximum is at most a constant times the value. Brownian scaling and dyadic integral comparison make the exceptional probabilities summable. The Borel-Cantelli first lemma and monotonicity interpolate between dyadic times. Apply this argument to for every positive integer on a countable intersection of probability-one events to obtain the infinite lower limit.
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