Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2007/iii/paper-33/5/a/solution
Past exam of the mathematics course of the University of Cambridge 2007 iii Paper 33 5 a Solution by
Codex 0 Created 2026-10-03 Updated 2026-10-14
Let and . For planar Brownian motion, the process is again standard Brownian motion. Thus its time- range has law . Two-dimensional Lebesgue measure scales by the square of the spatial factor, givingThe increments , , form another standard Brownian motion. Its range has the same law as , and translation by does not change its area. HenceThe equality concerns the laws of the areas. No independence between these two original areas is needed here.
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