Solution

ID: past-exam-of-the-stochastic-differential-equations-and-brownian-motion-in-complex-analysis-course-of-the-university-of-oxford/2009/b/4/a/solution

Conformal invariance of planar Brownian motion means invariance after changing the clock, not preservation of the original speed. If is a conformal bijection and is planar Brownian motion stopped on exiting , put
Then has the law of planar Brownian motion started at and run at time , up to the corresponding lifetime. Equivalently, composing with the inverse clock produces ordinary Brownian motion in .
Indeed, the real and imaginary parts of a holomorphic function are harmonic, so Itô's formula gives zero drift. The Cauchy-Riemann equations give equal coordinate brackets and zero cross bracket. The Lévy characterization of multidimensional Brownian motion after time change identifies the image. In particular the harmonic measure of boundary arcs is carried to their conformal images.

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