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Does Brownian motion go positive immediately?

Question

Let WW be a standard Brownian motion and Mt=sup⁡0≤s≤tWsM_t=\sup_{0\le s\le t}W_s its running maximum. For an arbitrary t>0t>0, what is P[Mt>0]\mathbb{P}[M_t>0]?

Short answer

11. By the reflection principle MtM_t has the law of ∣Wt∣|W_t|, which is positive almost surely. Alternatively, the event that WW is positive at arbitrarily small times has positive probability and is in the germ field, so Blumenthal's 0-1 law forces probability 11.

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