Past exam of the mathematics course of the University of Cambridge 2013 iii Paper 24 6 b Solution Created 2026-10-03 Updated 2026-10-07
For , put . Fix and , and setfor large enough that . The Brownian reflection principle and the Gaussian tail estimate giveSince , the sum of these probabilities is finite. The Borel-Cantelli first lemma implies that, almost surely, for all sufficiently large ,Now take . The function is increasing for , soHere the positive upper bound for can first be divided by , and the denominator can then be bounded below by ; this remains valid even when . Moreover,Thus, for each fixed pair ,Use the countable choices and , intersect their probability-one events, and let . This proves the Brownian upper law of the iterated logarithm:Only large times are involved. The hint's related monotonicity assertion for is also valid eventually: the derivative of is , which is negative for . No monotonicity at the small-time edge of the logarithmic expression is required.