Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2023/iii/paper-201/5/b/solution

Continuity on the compact interval ensures that a maximum time exists. Fix a rational and define
By Brownian time reversal and the Brownian running maximum law, . Independent increments give independently of . Their continuous distributions imply .
If the maximum were attained at two distinct times, a rational strictly between them would make the maxima on and equal, hence . A countable union over rational still has probability zero. Therefore the time of the Brownian maximum is almost surely unique.

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