Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2021/iii/paper-201/6/d/i/solution

Almost surely differentiable paths must be continuous, so the jump measure must vanish: . A nonzero Brownian component has almost surely nowhere-differentiable paths, so also . Conversely, if and , then is differentiable. Thus

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