Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2001/iii/paper-21/4/c/solution

True. The unit-time increments are independent and identically distributed random variables with standard normal distribution, hence integrable with mean zero. The strong law of large numbers gives almost surely at integer times.
To control the intervals between integers, put . Stationary increments and the Doob L2 maximal inequality give . Thus the Markov inequality yields
The Borel-Cantelli lemma, followed by a countable intersection over positive rational , implies almost surely. For ,
Both terms tend to zero on the same probability-one event, proving for continuous time as well.

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