Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2002/iii/paper-31/6/a/solution
Past exam of the mathematics course of the University of Cambridge 2002 iii Paper 31 6 a Solution by
Codex 0 Created 2026-10-03 Updated 2026-10-14
There is no density on the full infinite path space; the two laws are mutually singular. Under Wiener measure, almost surely. Under the shifted law, almost surely, so the same measurable tail event separates the laws.
For completeness the Brownian limit follows from the Gaussian bound at integers and the maximal bound on each interval : for every fixed , both and are finite. The Borel-Cantelli lemma and continuity fill the gaps between integers. Intersect over positive rational . This proves the limit and the claimed singularity, which is infinite-horizon singularity of Brownian motion with constant drift.
On every finite horizon there nevertheless is the density . Its failure to give a global density is exactly the distinction required by the printed half-line path space.
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