Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2016/iii/paper-203/1/a/solution

Take the convention that the coordinates of planar Brownian motion are independent standard real Brownian motions, so its infinitesimal generator is . Define the forward conformal Brownian clock
Since a conformal bijection has nonzero derivative, is a strictly increasing continuous map from onto . The time used inside the original path is its inverse:
Thus the interval direction for is the inverse-clock direction.
Write . The Cauchy-Riemann equations and the Itô formula make continuous local martingales, with
Indeed both components are harmonic functions, and their gradients are orthogonal with the same squared norm. After the time change of a continuous process by , their quadratic variations are and their quadratic covariation is zero. The Lévy characterization of multidimensional Brownian motion therefore identifies as planar Brownian motion started at , up to its lifetime.
It remains to identify that lifetime as the exit time, rather than merely produce a local Brownian path. Boundedness of gives almost surely. For every compact subset , its inverse image under is compactly contained in . As , continuity gives , so eventually leaves . Consequently the transformed path leaves every compact subset of at its lifetime. If , its Brownian extension has a finite limit, and that limit is outside ; if , the path never exits. In both cases its maximal lifetime is precisely the exit time from .
The killed paths, together with their lifetimes, have the same law:

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