Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2023/iii/paper-201/6/b/solution

The pair is a Brownian motion in . Assume inductively that . By the Strong Markov property at , the difference
is a one-dimensional Brownian motion with variance rate two, started from its current value. By recurrence of one-dimensional Brownian motion, it hits zero in finite time almost surely. Hence . Induction through proves almost surely.

New to topics? Read the docs here!