Past exam of the continuous martingales and stochastic calculus course of the University of Oxford / 2023 / 1 / b / i / Solution

Let $S_N={\sum }_{n=0}^N{\sum }_{k=0}^{2^n-1}{a}_{n,k}{H}_{n,k}$. The assumed orthonormality of the Haar wavelets givesEnumerate the coefficients level by level as $A_1,A_2,\dots$. They are independent and identically distributed standard normal random variables, so the squares have mean one. The strong law of large numbers impliesConsequently,A convergent sequence in a Hilbert space must be bounded in norm. Hence this random Haar wavelet series diverges in $\mathcal{H}$ almost surely.