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: $\underset{\epsilon \rightarrow 0}{\lim}\int_\Omega 1_{\{y=B_t+x / t\in \mathopen]0,1-\epsilon]\}}(\omega)dP_{B(\epsilon)}(\omega)= \underset{\epsilon\rightarrow 0}{\lim} E_xP_{B(\epsilon)}\{y\in B[0,1]\}$.
\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}
.) $\endgroup$