Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2012/iii/paper-33/5/c/solution

Let be the fixed line and choose . Take orthonormal vectors spanning the plane perpendicular to . The process
is standard planar Brownian motion starting from . Indeed the projected increments are centered Gaussian random vectors with covariance , are independent on disjoint intervals, and have continuous paths.
The event is exactly . The polar point for planar Brownian motion result in (b) therefore gives
This is a projection criterion for Brownian avoidance of affine subspaces: avoiding a fixed point in a two-dimensional projection excludes hitting the original line.

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