Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2008/iii/paper-37/4/b/solution

Translate the horizontal coordinate by . Then is a standard Brownian motion starting at zero, and continuity identifies with its first-passage time to . The vertical coordinate remains an independent standard Brownian motion starting at zero. Part (a) therefore gives the Cauchy exit law from a Brownian half-plane:
The TeX transcription's initial value and later are both corrected here to the PDF's and .

New to topics? Read the docs here!