Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2017/ii/paper-2/27j/d/solution

For , the Brownian reflection principle gives . Reflection of the path after its first hit of preserves its law and pairs paths ending below with paths ending above , proving this identity. Therefore
By monotone increase of the finite-time suprema, the probability that the full supremum is at most any finite is zero. Taking a countable union over integer gives .

New to topics? Read the docs here!