Past exam of the mathematics course of the University of Cambridge 2023 iii Paper 201 5 b Solution 2026-09-28
Continuity on the compact interval ensures that a maximum time exists. Fix a rational and defineBy Brownian time reversal and the Brownian running maximum law, . Independent increments give independently of . Their continuous distributions imply .
If the maximum were attained at two distinct times, a rational strictly between them would make the maxima on and equal, hence . A countable union over rational still has probability zero. Therefore the time of the Brownian maximum is almost surely unique.
Past exam of the mathematics course of the University of Cambridge 2023 iii Paper 201 5 c Solution 2026-09-28
For fixed , uniqueness givesThe two sides of the comparison are independent and distributed as and for independent standard normal random variables. Rotational invariance of makes its angle uniform, soThe endpoint values follow by continuity. Thus the time of the Brownian maximum has the arcsine distribution.