Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2017/iii/paper-201/6/c/solution

Let , a random level. The Brownian reflection principle gives , so almost surely. Also : this follows by applying reflection to the reversed increment process , which has the law of a standard Brownian motion. Thus almost surely as well.
By continuity and compactness, is attained at some time strictly between zero and one, so . It is not exceeded anywhere on ; since , continuity even excludes an exceedance in a positive interval just after time one. Consequently . Both conclusions hold on a single probability-one event, giving the fixed-level versus simultaneous Brownian passage-time equality distinction:
Thus the simultaneous assertion is false. Equality for each deterministic level, and even simultaneously for all rational levels, cannot be extended to all real levels by an uncountable intersection.

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