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I'm folowing the proof of corollary 1.8 page 5 of Mörters - Sample path properties of Brownian motion.

I want to show that $$\forall x,y \in \mathbb{R}^d , P_x\{y\in B\mathopen]0,1]\}=0$$ where $B$ is a $d$-dimensional Brownian motion.
We will use the Lévy's theorem that says: $$\mathcal{L}_2(B[0,1])=0 \hspace{0.5cm} \text{almost surely.}$$

  • in the first step we will show that $$\forall y \in \mathbb{R}^d, P_x\{y\in B[0,1]\}=0 \hspace{0.5cm} \text{for $\mathcal{L}_2$-almost every } x \in \mathbb{R}^d$$ for any fixed $y\in\mathbb{R}^d$\begin{eqnarray*} \int_{\mathbb{R}^2}P_{y}(x\in B[0,1])dx&=&\int_{\mathbb{R}^2}\int_\Omega 1_{\{x\in B[0,1]\}}(\omega)dP_y(\omega)dx\\&=&\int_{\mathbb{R}^2}\int_\Omega 1_{B[0,1](\omega)}(x)dP_y(\omega)dx\\&=&\int_\Omega \int_{\mathbb{R}^2}1_{B[0,1](\omega)}(x)dxdP_y(\omega)\hspace{0.5cm} \text{by Tonelli}\\&=& \int_\Omega \mathcal{L}_2(B[0,1](\omega))dP_y(\omega)\\&=& E_{y}(\mathcal{L}_{2}(B[0,1])=0\\ \end{eqnarray*} so $$P_x\{y\in B[0,1]\}=0 \hspace{0.5cm} \text{for almost every } x \in \mathbb{R}^d$$ (now how can we get rid of the "for almost every $x$"?).

  • in the second step he shows by symmetry of Brownian motion that: (but I don't know where did he use it) \begin{eqnarray*} P_{x}(y\in B[0,1])&=&P_{0}(y-x\in B[0,1])\\&=&P_{0}(y-x \in -B[0,1])\\&=&P_{y}(x\in B[0,1])=0\\ \end{eqnarray*}

  • in the third and last step he will get rid of the "for almost every $x$": we will show that $\forall \epsilon >0, $ we have almost surely $P_{B(\epsilon)}\{y\in B[0,1]\}=0$ and we will find the result by sending $\epsilon$ to zero \begin{eqnarray*} P_{x}\{y\in B\mathopen]0,1]\}&=&P_{x}\{y=B_t / t\in \mathopen]0,1]\} \\&=&P_{x}(\bigcup_{\epsilon>0}\{ y=B_t / t\in \mathopen]\epsilon,1]\})\\&=& \lim_{\epsilon\rightarrow 0}P_{x}\{ y=B_t / t\in ]\epsilon,1]\} \\&=& \lim_{\epsilon\rightarrow 0}P_{x}\{ y=B_{t+\epsilon} / t\in \mathopen]0,1-\epsilon]\} \\&=& \lim_{\epsilon\rightarrow 0}P_{x}\{ y=B_{t+\epsilon}-B_\epsilon +B_\epsilon / t\in \mathopen]0,1-\epsilon]\}\\&=& \lim_{\epsilon\rightarrow 0}P_{x}\{ y=B_t+B_\epsilon / t\in \mathopen]0,1-\epsilon]\}\\&=& \underset{\epsilon \rightarrow 0}{\lim}P_{B\epsilon}\{ y=B_t+x / t\in \mathopen]0,1-\epsilon]\}\\&=& \underset{\epsilon \rightarrow 0}{\lim}\int_\Omega 1_{\{y=B_t+x / t\in \mathopen]0,1-\epsilon]\}}(\omega)dP_{B(\epsilon)}(\omega)\\&=& \lim_{\epsilon\rightarrow 0} E_xP_{B(\epsilon)}\{y\in B[0,1]\}. \end{eqnarray*}

    I didn't get how he arrived to the last equation: $\underset{\epsilon \rightarrow 0}{\lim}\int_\Omega 1_{\{y=B_t+x / t\in \mathopen]0,1-\epsilon]\}}(\omega)dP_{B(\epsilon)}(\omega)= \underset{\epsilon\rightarrow 0}{\lim} E_xP_{B(\epsilon)}\{y\in B[0,1]\}$.

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    $\begingroup$ Instead of writing your interpretations of the proof, can you simply say what is the first place in the proof that seems unclear? $\endgroup$ Commented Sep 12, 2023 at 13:14
  • $\begingroup$ sorry for not being clear , i add the question $\endgroup$
    – sara
    Commented Sep 12, 2023 at 14:03
  • $\begingroup$ Most of your discussion is about $B[0, 1]$, but you start with $B\mathopen]0, 1]$ (title and body). Was that intentional? (At first I thought it was a typo, but there's an explicit \mathopen.) \\ Please use subscripts rather than \underset when appropriate: e.g., \lim_{\epsilon \rightarrow 0}, not \underset{\epsilon \rightarrow 0}{\lim}. I have edited accordingly. (If you were doing this to bypass effects like $\lim_{\epsilon \rightarrow 0}$, then the appropriate way is to use \limits: $\lim\limits_{\epsilon \rightarrow 0}$ \lim\limits_{\epsilon \rightarrow 0}.) $\endgroup$
    – LSpice
    Commented Sep 12, 2023 at 14:14
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    $\begingroup$ @sara : I don't see this "last equation" in the lecture notes. Again, instead of writing your interpretations of the proof, can you simply say what is the first place in the actual proof in the notes that seems unclear? $\endgroup$ Commented Sep 12, 2023 at 14:25
  • $\begingroup$ @LSpice i'll do it , thank you $\endgroup$
    – sara
    Commented Sep 12, 2023 at 14:27

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