Proof local time of BM only increasing on 0

brownian motionlocal timestochastic-analysisstochastic-calculusstochastic-processes

Let $B$ be a standard Brownian motion and the local time of $B$ at $0$ defined by Tanaka's formula
\begin{equation}
L_t = |B_t| – \int_0^t sgn(B_s) dB_s \ .
\end{equation}

Now I want to prove that $L_t$ only increases on the zero set of $B$. I was given the pointer to explain why it suffices to show that for fixed rationals $r < r'$, $B \neq 0$ on $[r,r']$ implies $L_r = L_{r'}$. I don't really see how looking at rationals will help me here.

Edit: What I tried: Let $p<q$ be rationals and $B_s \neq 0$ a.s. for all $s \in [p,q]$. By continuity of $L$ we have that either $B_s >0$ or $<0$ for all $s \in [p,q]$. Then,
\begin{equation}
L_{q} – L_p = | B_{q} | – | B_p |- \int_p^q sgn(B_s) dB_s = 0,
\end{equation}
because $sgn(B_s) = 1$ or $-1$.

Is this approach correct? And why wouldn't it work for any reals $u<v \in \mathbb{R}$?

Best Answer

For each pair of rationals $p<q$, your calculation shows that the event $$ A_{p,q}:=\{B \hbox{ is zero free in }[p,q], L_p<L_q\} $$ has probability zero. Thus so does the countable union $A:=\cup_{p<q\in\Bbb Q}A_{p,q}$. As both $L$ and $B$ are continuous on an event $C$ of probability 1, the desired claim holds on $C\setminus A$, and this event has probability 1.