Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 201 / 5 / b / Solution

Continuity on the compact interval ensures that a maximum time exists. Fix a rational $r\in (0,1)$ and defineBy Brownian time reversal and the Brownian running maximum law, $U_r\stackrel{d}{=}|N(0,r)|$. Independent increments give $V_r\stackrel{d}{=}|N(0,1-r)|$ independently of $U_r$. Their continuous distributions imply $\mathbb{P}(U_r=V_r)=0$.

If the maximum were attained at two distinct times, a rational $r$ strictly between them would make the maxima on $[0,r]$ and $[r,1]$ equal, hence $U_r=V_r$. A countable union over rational $r$ still has probability zero. Therefore the time of the Brownian maximum is almost surely unique.