Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2005/iii/paper-34/2/c/solution

The dyadic slope martingale is uniformly bounded by . The martingale convergence theorem gives an almost-sure limit , and dominated convergence gives L1 convergence. Define on the null exceptional set and at the endpoint. This gives a measurable representative with everywhere.
If are dyadic rationals, then for every sufficiently fine grid the integral telescopes:
Pass to the limit by L1 convergence. For arbitrary endpoints choose dyadic , with . The error in the integrals is at most , and Lipschitz continuity controls the error in the endpoint values by the same expression. Therefore
This constructs the bounded integral density directly, without assuming in advance that a Lipschitz function has an almost everywhere derivative.

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