 Solution

Since $X_0=0$, its supremum $X^{\star }$ is nonnegative. For $b>0$, continuity givesThe events increase with $n$. Part (iii) therefore yields $\mathbb{P}(X^{\star }>b)={\lim }_n{e}^{-(b+1/n)}=e^{-b}$. Letting $b\downarrow 0$ gives $\mathbb{P}(X^{\star }>0)=1$; letting $b\to \infty$ gives finiteness almost surely. ConsequentlyIts probability density function is $e^{-x}{1}_{\{x>0\}}$, with no atom at zero. Using strict exceedances above also avoids presupposing that the infinite-horizon supremum is attained.