Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2007/s/3/d/solution

Use four vertices, with lengths , , and every other non-loop arc of length . The two arcs between and form a negative-length cycle in a graph. For , , ,
The recurrence would give , by concatenating and . That walk repeats , so it is not a simple graph path. Every simple graph path from to still has length at least zero, attained by . Thus
a strict inequality in part (a).

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