Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2010/iii/paper-27/1/b/solution

We use the following standard planar Brownian motion facts: its exit probability distribution is harmonic measure; conformal maps preserve that probability distribution after an increasing time change; and the Poisson kernel for the upper half-plane gives its real-boundary exit density. For rough hulls the boundary is interpreted through prime ends, with boundary correspondence at harmonic-measure-almost every exit point. This avoids imposing a smoothness or local-connectedness assumption on .
Under , the exit event through corresponds to a measurable set of boundary images. It is bounded: the mapping-out function extends by Schwarz reflection along the real line outside a sufficiently large interval enclosing , and its boundary near infinity corresponds to the original real boundary near infinity. All prime ends representing therefore have images in a bounded interval. The boundary correspondence assertion can equivalently be formulated using the almost-everywhere limits of ; changing null sets does not change 's measure.
Write . The hydrodynamic normalization at infinity gives and . By conformal invariance of planar Brownian motion and the Poisson kernel for the upper half-plane,
On the bounded set , the integrand multiplied by tends uniformly to one. Therefore the limit exists and is finite:
This is the harmonic capacity from infinity in the upper half-plane with the normalization ; it is different from half-plane capacity. If real boundary points are retained in the definition of , include their boundary images in as well; the argument is unchanged.
For the scaling statement, Brownian scaling says that started from is again standard planar Brownian motion. The exit event scales with the hull, so
Set , multiply by and take the limit. It follows that
The same conclusion follows geometrically from and the formula above.

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