Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2014/iii/paper-29/2/c/solution

Scale the disk to the unit disc, so that the starting point is . Use the Möbius transformation
which maps the disk onto itself, sends to , and sends to . By conformal invariance of planar Brownian motion, the exit image is the circular exit of a Brownian motion starting at . Rotational invariance of planar Brownian motion makes that exit uniform in angle.
The endpoints of the right semicircle satisfy
Its image is the arc through between these points, of angular length . Thus the Möbius calculation of circular Brownian exit gives
Since and partition the exit almost surely, part (b) yields
The last equality uses , so the double-angle tangent identity uses the stated principal branch. As a check, the boundary angle derivative of is ; integrating this circular exit density over the right semicircle gives exactly the integral supplied in the question.

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