Solution

ID: past-exam-of-the-martingales-and-financial-mathematics-course-of-the-university-of-oxford/2008/a/4/b/ii/solution

If is continuous at , choose a small interval on which . The triangle inequality makes its oscillation less than , so .
Conversely, if , then for every some has . As itself belongs to the interval used in that supremum, for . Thus is continuous at .
The continuity set of a function is therefore
Each set in the intersection is open by part (i), so this is a G-delta set and in particular a Borel set, even if itself is not measurable.

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