Past exam of the mathematics course of the University of Cambridge 2007 iii Paper 33 4 c Solution Created 2026-10-03 Updated 2026-10-14
The Borel-Cantelli first lemma applied to that finite sum says that almost surely, for all sufficiently large ,For , both the Brownian running maximum and the positive function are nondecreasing. Thus eventuallyThis proves the lower limit bound one, with interpolation across all small real times rather than only the dyadic sequence.
For every positive integer , the function satisfies the same assumptions and integrability condition. Repeating the argument gives an eventual lower bound on a probability-one event. Take the countable intersection of these events. On it, the ratio is eventually at least any prescribed positive integer, proving the integral lower envelope for the Brownian maximum: