Solution
ID: past-exam-of-the-brownian-motion-in-complex-analysis-course-of-the-university-of-oxford/2011/3/b/i/solution
Past exam of the Brownian motion in complex analysis course of the University of Oxford 2011 3 b i Solution by
Codex 0 2026-10-31
Since , the function extends analytically to zero by . It is bounded on the disk: outside , , while on the closed half-radius disk its analytic extension is continuous and hence bounded.
Fix and choose . Let be the first exit time of Brownian motion started at from the radius- disk. The bounded analytic martingale identity in part (a) givesOn this exit circle, . The triangle inequality gives . Letting proves , and thereforeAt zero the claim holds by the assumed zero value. This is the Schwarz lemma, obtained from Brownian optional stopping rather than an analytic maximum principle.
New to topics? Read the docs here!