Solution

ID: past-exam-of-the-brownian-motion-in-complex-analysis-course-of-the-university-of-oxford/2011/3/b/i/solution

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) gives
On this exit circle, . The triangle inequality gives . Letting proves , and therefore
At 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.

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