Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2025/iii/paper-201/2/a/iv/solution

Continuity gives existence of a minimizer. If there were two, choose a rational strictly between them. Then the minima on and would coincide. Conditional on , the latter equals plus the minimum of an independent Brownian motion on , whose distribution is continuous by the Brownian reflection principle. Thus equality has conditional probability zero. Taking the countable union over rational proves almost-sure uniqueness.

New to topics? Read the docs here!