Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2014/iii/paper-26/4/3/solution

Fix rational . Divide into equal intervals. Its Brownian increments are independent centered normal variables, so the probability that all are nonnegative is . A nondecreasing path would force this event for every , hence its probability is zero. The same argument with nonpositive increments excludes a nonincreasing path.
There are countably many rational pairs , so with probability one none of these intervals supports a monotone path. Every real interval contains such a rational subinterval. Monotonicity on the larger interval would imply monotonicity on that subinterval, a contradiction. Thus the nowhere monotonicity of Brownian motion assertion holds simultaneously:
Both nondecreasing and nonincreasing behavior, including a constant path segment, are excluded.

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