Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/e/e3/b/iii/solution

The inclusion of into is continuous, so a connected component of is an interval in . For , openness of gives with . This interval is connected and meets , so their union is connected and maximality forces the interval into . Thus is open in . A nonempty open connected subset of the line is an open interval, allowing an infinite endpoint or the whole line. Hence every component is an open interval.

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